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Refers to the AutoRegressive Integrated Moving Average model used in time series modeling both for data description and for forecasting. This model generalizes the ARMA model by including a term for differencing, which is useful for removing trends and handling some types of non-stationarity.

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I have data on GDP, employment rate, inflation and production on two countries and I like to make some ARIMA models. I have done this before, but not with including regressors. Also, the time period … includes the European crisis, so I created a dummy for this period. I know that I can select the best ARIMA model by checking the AIC and BIC values. But I have to play around with the regressors …
asked Dec 5 '15 by pk_22
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How can I, using the correlograms above, specify the orders of the ARIMA model? These are the pac an ac of the differenced time series. Using AIC and BIC, I can't seem te find a proper model …
asked Dec 8 '15 by pk_22