Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [armax]

ARIMA model with exogenous regressors.

30 questions
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What is the difference between VAR, Dynamic Regressive, and ARMAX models?

All of these models seem to be used in predicting an endogenous time series variable, using several lagged exogenous time series variables. If it is so, how do we decide when to use which?
Arslán
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Is it valid to use an ARMAX model for TV Attribution?

Suppose I have a website which has some baseline hourly traffic. I also run TV advertising intermittently which drives up my web traffic. I want to determine how much effect my TV advertising is having in terms of driving up web traffic. If I fit an…
Peter
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Why auto.arima does not differentiate when there is xreg?

Simulated data: dput(test) structure(list(xx = c(11.68, 11.29, 11.17, 10.41, 9.36, 9.52, 8.67, 7.69, 8.36, 6.97, 7.05, 7.08, 6.62, 6.35, 5.96, 4.91, 7.25, 8.66, 7.85, 9, 8.14, 6.99, 7.23, 6.16, 6.42, 6.6, 5.47, 4.85, 5.12, 4.76, 4.72, 5.32, 5.04,…
soheil
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4
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Estimate the best ARMAX model with one lagged independent variable (time series)?

I have two time series to work with, let's say $X_1$ and $X_2$. First I have to estimate the best pure ARMA model for $X_1$; which is no problem. For that I perform the following steps: Stationarize (if needed) the time series by differencing…
AltTabsen
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Fit an ARMAX model in R

I would like to fit an ARMAX model in R of the form that is mostly used in literature: $$y_t = \beta_1 x_t+\cdots+ \beta_{k} x_{t_{k-1}}+ \phi_1 y_{t-1}+\cdots+\phi_p y_{t-p}+ \theta_1 z_{t-1}+\cdots \theta_{q} z_{t-q} + z_t$$ where $x$ is exogenous…
otwtm
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ARMAX or Dynamic Regression | regression of multiple timeseries

I have the following time series dataset (dependent | independent) : Sales | Income,Inflation, Interest Rates etc All of this is dynamic data pertaining to each of 24 months (month:0 to month:24). For 25th month onward I have no data for the…
Arslán
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Detailed reference to facilitate manual implementation of ARIMAX

ARIMAX is implemented in SAS and R (function arimax in "TSA" package). I want to implement ARIMAX in an open source library in Scala and Python. Is there any reference, like a research paper or a step-by-step explanation, on how ARIMAX works inside…
ekot
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1 answer

Unusual use of time series: getting xreg from a given forecast value

I recently fit an ARIMA model for some daily sales data. To account for seasonality I used various dummies in xreg for different days in the month, days in the week, holidays, etc. Since the sales would be related with the number of employees that…
Matthew Lau
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2 answers

How to interpret effect of log-inventory on log-price?

I have an autoregressive model that explains house prices. The dependent variable is the log of the house prices, in which the house prices are an index number (lprice) The independent variables are the log of real housing investment (linv) and the…
Matthijsg
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Time series: Vector AR(I)MA models with exogenous variables

I have taken a course based on the book "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. I have learned about vector ARMA models, vector VAR models and Whittle's algorithm. I am interested in methods that…
Pink Flying Elephant
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ARMAX stationarity - Do the exogenous variables need to be stationary too?

It concerns the ARMAX time series modelling. In order to have a stationary time series, does the exogoneous part need to be stationary too ? Or it does not have any influence ? Thank you all !
Pingu
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Does ARMAX solve the autocorrelated errors and avoid spurious regression?

I have a OLS model looks like this: However, the residuals have auto-correlation like this: It doesn't seem a strong autocorrelation, and the model passes the Engle-Granger cointegration test (package egcm). However, the model fails Durbin–Watson…
chl111
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fourier terms for double seasonality in R

I am performing a time series analysis on a daily time series. I know that there is a weekly period (7 days) and also a montly seasonality. For now, i set the time series object in R using a ts(x=mysequence, frequency = 7) and modeled the time…
Giorgio Spedicato
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PACF for ARMAX Model

How do I can get the PACF graph for one dependent variable, Y and 2 independent variables? do I have to calculate the covariance? the PACF output shows in R is only 2 variables only. There is a specific command for it?
user317559
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Intermittent Electricity Output - Causal Effects

I am working on modeling the electricity output of a single power plant. More specifically, I am trying to compute causal effects of a variable prop on output. My model would look something like this $$ output = \beta_0 + \beta_1 prob +…
Philip Schnaars
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