Estimating ARIMA and SARIMA
Posted: Tue Nov 11, 2014 9:52 pm
Hi
I am using ARIMA to forecast annually data. When i use unit root test it shows data are I(1) but when I use automatic ARIMA selection it chose no differencing. What should I do? Should I estimate the model with differenced data or in level?
Furthermore, I use SARIMA to forecast quarterly data. My question is in SARIMA model, how should I determine order of regular differencing(d) and order of seasonal differencing(D) separately?
And by using auto ARIMAsel how should I select order of seasonal differencing because it has just one choice?
Thanks in advance,
I am using ARIMA to forecast annually data. When i use unit root test it shows data are I(1) but when I use automatic ARIMA selection it chose no differencing. What should I do? Should I estimate the model with differenced data or in level?
Furthermore, I use SARIMA to forecast quarterly data. My question is in SARIMA model, how should I determine order of regular differencing(d) and order of seasonal differencing(D) separately?
And by using auto ARIMAsel how should I select order of seasonal differencing because it has just one choice?
Thanks in advance,