Questions tagged [armax]

ARIMA model with exogenous regressors.

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Can ARIMAX covariates be lagged?

I read that the ARIMAX is a composition of the Box-Jenkins approach and structural models. The X represents the structural part of the ARIMAX. Can the covariates in X be lagged, or are these meant to ...
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21 views

Equivalency between ARMAX and state-space model

I am trying to understand the equivalency between ARMAX and the state-space model. I have read articles/websites with different conclusions on this topic. Some people claim ARMAX and state-space model ...
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1answer
103 views

transfer function-noise modelling in R

I recently started to learn transfer-function model, which, more specifically, is transfer-function-noise model(TFN). I have also attempted modeling it in R. I found one thing that is baffling. ...
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1answer
977 views

Fit an ARMAX model in R

I would like to fit an ARMAX model in R of the form that is mostly used in literature: $$y_t = \beta_1 x_t+\cdots+ \beta_{k} x_{t_{k-1}}+ \phi_1 y_{t-1}+\cdots+\phi_p y_{t-p}+ \theta_1 z_{t-1}+\cdots ...
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1answer
93 views

How to add knots to auto.arima() regressors?

I am using forecast package in R by Rob Hyndman. I am using the auto.arima() function and I have various regressors. One of my regressors is temperature values, ...
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1answer
637 views

Why auto.arima does not differentiate when there is xreg?

Simulated data: ...
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41 views

Compare how one time series affects another and which tests are needed?

Context According to Becker (1968) and Elrich (1996) criminality study, the entrance of low income refugees with relatively lower scholarity than UK population would increase crime in the region. The ...
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2answers
4k views

What is the difference between VAR, Dynamic Regressive, and ARMAX models?

All of these models seem to be used in predicting an endogenous time series variable, using several lagged exogenous time series variables. If it is so, how do we decide when to use which?
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1answer
1k views

ARMAX or Dynamic Regression | regression of multiple timeseries

I have the following time series dataset (dependent | independent) : Sales | Income,Inflation, Interest Rates etc All of this is dynamic data pertaining to each ...
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0answers
183 views

Detailed reference to facilitate manual implementation of ARIMAX

ARIMAX is implemented in SAS and R (function arimax in "TSA" package). I want to implement ARIMAX in an open source library in Scala and Python. Is there any ...
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0answers
131 views

Does ARMAX solve the autocorrelated errors and avoid spurious regression?

I have a OLS model looks like this: However, the residuals have auto-correlation like this: It doesn't seem a strong autocorrelation, and the model passes the Engle-Granger cointegration test (...
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1answer
440 views

Is it valid to use an ARMAX model for TV Attribution?

Suppose I have a website which has some baseline hourly traffic. I also run TV advertising intermittently which drives up my web traffic. I want to determine how much effect my TV advertising is ...
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1answer
61 views

Unusual use of time series: getting xreg from a given forecast value

I recently fit an ARIMA model for some daily sales data. To account for seasonality I used various dummies in xreg for different days in the month, days in the week,...
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2answers
113 views

Modelling effect of advertisement on sales with ARMAX

I am trying to model the effect of advertisement on sales in Stata. The data is weekly and there are around 150 observations. I started by applying an ARMAX(1,0,1) model with the following exogenous ...
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2answers
168 views

How to interpret effect of log-inventory on log-price?

I have an autoregressive model that explains house prices. The dependent variable is the log of the house prices, in which the house prices are an index number (lprice) The independent variables are ...
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3answers
885 views

Estimate the best ARMAX model with one lagged independent variable (time series)?

I have two time series to work with, let's say $X_1$ and $X_2$. First I have to estimate the best pure ARMA model for $X_1$; which is no problem. For that I perform the following steps: Stationarize ...
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1answer
973 views

fourier terms for double seasonality in R [closed]

I am performing a time series analysis on a daily time series. I know that there is a weekly period (7 days) and also a montly seasonality. For now, i set the time series object in R using a ...