# Questions tagged [box-jenkins]

The Box-Jenkins procedure is used to identify the orders of an ARIMA model to apply to a time series.

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### Using Box-Jenkins methodology for intervention analysis

I'm trying to follow B-J methodology for my intervention analysis. My understanding of of the first step is that, one should detrend any systematic trends such as seasonality then determine the lag ...
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### How to identify ARMA order of Panel Regression

I am familiar with methods to determine the Autoregressive and Move Average orders of ARIMAX type models in a univariate time-series context, usually formulated as regression with ARMA errors. I am ...
1 vote
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### Recursive Maximum Likelihood Estimation algorithm - The same as Maximum Likelihood Estimation?

I have the book "Adaptive Control", Second edition, from Karl-Johan Åström and at page 61 to 62 he wrote: Stochastic models The least-squares estimate is biased when it used on data ...
1 vote
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### Parsimony and Box Jenkins

Suppose that you want to estimate volatility of stock returns with the arch/garch family. An important step is to estimate the mean equation. Suppose that you estimated e.g. an ARMA(5,4) model for ...
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### Problem of extremly increasing Partial Autocorrelations in time series data

I'm currently trying to make a forecast of the use of prepaid payment instruments using ARIMA modelling in Stata. I have a time series data set, containing monthly oberservations from April 2011 to ...
1 vote
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### Parsimony in Box -Jenkins model

Book of Enders says: A parsimonious model fits the data well without incorporating any needless coefficients. I am confused with this tradeoff, coefficients ...
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### What can cause autocorrelation in higher lag orders of returns?

I am fitting an AR(p) model to the daily time series of S&P500 returns. I have examined AIC/BIC up to 5 lags and both show that model with 2 lags is optimal. However, when I examine the residuals ...
1 vote
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### I have correlogram ACF and PACF below for a temperature time series. Can I say it is MA(2) from ACF? What about AR?

ACF and PACF for monthly average temperature time series:
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### Interpretation of this ACF plot

Currently I am trying to determine whether a sample of monthly returns can be seen as the outcome of a random sample. I plotted the ACF for 20 lags and got the following plot: I am uncertain by the ...
1 vote
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### Could somebody help me read these ACF and PACF plots?

So, I have this time series that I have already forecasted using an ARMA model, but I am new to this and am therefore not at all sure whether or not I did this (somewhat) correctly. I got the best ...
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### Issues on analyzing a time series, ACF and PACF quite the same

I'm attending a econometric course and I'm new to time series analysis. They gave me a time series to analyze and I'm trying to apply all the things I learnt (and understood) to an actual time series. ...
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### ARIMA model with splitted data

Question: When analyzing a time series of size $N$ assume that you fit models for data in the intervals $[1,N/2]$, $[N/2+1,N]$, $[1,(2/3)N]$ and $[(2/3)N+1,N]$. Discuss what this approach is for. ... 3k views

### ARIMA Analysis (Box Jenkins Method) In R

So I have a time series which I cannot share with you all, but I have a few questions about the proper proceedings to fit the correct ARIMA model for my data. I have successfully written a loop to ...
1 vote
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### ACF and PACF in Box Jenkins

guys! I know this might be a silly question, but I am really curios if my interpretation is correct. I have some stock returns and try to fit and ARMA model I took the log difference and I want now ...
1 vote
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### auto.arima() fits a different model than ACF/PACF plots suggest

I have a data set that is transformed to stationarity and I'm trying to fit it to an ARIMA model. I found that variance is lowest when the transformed set is differenced to 1, and here are my ACF and ...
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### Building an ARIMA model using ACF, PACF, etc

I wish to better understand the details of ARIMA models and how to interpret ACF and PACF graphs in determining what type of ARIMA model to use. From my studies so far, I understand that there are ...
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### Check the stationarity of a time series [duplicate]

I've a time series, 100 observations. I'm following the the Box-Jenkins method in order to find a model that fit the data. My questions (I'm a bit confused): if I plot in a graph time vs observation ...
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### ARIMA Box-Jenkins analysis with no significant ACF/PACF lags

I am analysing the stock index returns data for few countries. From observation of the ACF and PACF there seem to be no significant peaks at any lags. However, applying the auto.arima function from ...
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### What is the ARIMA model for this data?

I have made my series stationary by using one difference and have plotted the following acf & pacf: So I have decided to test the following models: • ARIMA(0,1,1) since the acf cuts off after ...
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### Box-Jenkins to prove model

Suppose the $X_t$ satisfies: $$\phi_1 (B) X_t = \theta_1 (B) Z_t, \tag{*}$$ where $\{Z_t\},$ $WN(0, \sigma_Z^2)$ and $\phi_1 (\cdot)$ and $\theta_1 (\cdot)$ are polynomials of order $p_1$ and $q_1$...
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### Fitting a Multivariate ARIMA Model (in R) [closed]

I've been working on a high school project attempting to determine whether or not there exists a relationship (and if it exists, information on the strength and duration of the relationship) between ...
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### Find state space model to compare with Box-Jenkins ARIMA model

I asked a question here about how to get predictions for the random-walk component of an ARIMA model. Are there time series models in the state-space framework that might be suitable for the kind of ...
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### Determining order of ARIMA model using Box-Jenkins. Correct approach / argumentation?

I obtained a couple of time series from estimating my (mortality-)model which I now aim to forecast with an appropriate ARIMA(p,d,q) model, which should be chosen with the use of the Box-Jenkins ...
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### Box-Jenkins Forecasting With ARIMA(p,d,q) models

I want to check that I understand the general theme of forecasting with ARIMA models using box-jenkins, so I am going to take an example and then proceed from there. We will use $B$ notation for the ...
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### ARIMA Specification from Correlogram

How should I determine the data generating process from the correlogram below? This is non-seasonally adjusted monthly data that has been 1st differenced. I am trying to conduct univariate time ...