Question

[Bird]

Hi all,

In the ARIMA model, is it a must to add the constant (c) in the model?

Thank you for your help!

BTW, could you please share me the tips and materials fo running seasonal Arima model? I know how to run ARIMA model but I am confused whenever it is seasonal.

[startz]

Hi all,

In the ARIMA model, is it a must to add the constant (c) in the model?

Traditionally, ARMA models assume the data has zero mean. You need to either or subtract off the mean or include C. Most people do the latter.

An ARIMA model is a little different. The mean of the data automatically disappears when you first difference, and the constant estimates the drift rate.

[Bird]

Hi all,

In the ARIMA model, is it a must to add the constant (c) in the model?

Traditionally, ARMA models assume the data has zero mean. You need to either or subtract off the mean or include C. Most people do the latter.

An ARIMA model is a little different. The mean of the data automatically disappears when you first difference, and the constant estimates the drift rate.

Thank you for your help. I also read in a material that a model with two order of total differencing normally does not include a constant term. In a model with one order of total differencing, constant should be included if the series has a non-zero average trend.

[Bird]

I have to do now with OLS. Could you please help me the steps I have to do for OLS estimate?

I mean, firstly do I need to check the unit root test for each time series of dependent variables and independent variable as well? After that, testing the cointegration?

Thank you so much for your help!