Automatic ARIMA Forecasting

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shehramkhan
Posts: 2
Joined: Tue Oct 13, 2015 8:32 pm

Automatic ARIMA Forecasting

Postby shehramkhan » Tue Sep 18, 2018 8:36 am

Hi,

I ran automatic ARIMA test on our daily sales data which gave the best model. I tried doing forecasting based on the best model but the standard errors were too large. So, I changed the dependent variables from DLOG(Daily_Units_Sold) to just 'Daily_units_Sold' and the standard errors became normal. Is it because of the log differentiation that it caused the standard errors to inflate so much? If so, then is there a way to normalize the standard errors?

Thank you,

Shehram Sikander

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Automatic ARIMA Forecasting

Postby startz » Tue Sep 18, 2018 8:39 am

In one case you are predicting the first difference and in the other you are predicting the level.

shehramkhan
Posts: 2
Joined: Tue Oct 13, 2015 8:32 pm

Re: Automatic ARIMA Forecasting

Postby shehramkhan » Tue Sep 18, 2018 8:43 am

I agree. However, does taking the dlog of the dependent variable affects the variance so much to the point that it is almost impossible to see the dependent variable in a normal graph. Should I instead go with other top 20 models mentioned in the automatic ARIMA output?

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