SPSS® 12.0 Command Syntax Reference

Options
Basic Specification
ARIMA 153
Model Specification. The traditional ARIMA (p,d,q)(sp,sd,sq) model incorporates nonseasonal
and seasonal parameters multiplicatively and can be specified on the MODEL subcommand.
You can also specify ARIMA models and constrained ARIMA models by using the separate
parameter-order subcommands P, D, Q, SP, SD, and SQ.
Parameter Specification. If you specify the model in the traditional (p,d,q) (sp,sd,sq) format on
the MODEL subcommand, you can additionally specify the period length, whether a constant
should be included in the model (using the keyword CONSTANT or NOCONSTANT), and
whether the series should first be log transformed (using the keyword NOLOG, LG10, or LN).
You can fit single or nonsequential parameters by using the separate parameter-order subcommands
to specify the exact lags. You can also specify initial values for any of the parameters
using the AR, MA, SAR, SMA, REG, and CON subcommands.
Iterations. You can specify termination criteria using the MXITER, MXLAMB, SSQPCT, and
PAREPS subcommands.
Confidence Intervals. You can control the size of the confidence interval using the CINPCT subcommand.
Statistical Output. To display only the final parameter statistics, specify TSET PRINT=BRIEF
before ARIMA. To include parameter estimates at each iteration in addition to the default output,
specify TSET PRINT=DETAILED.
New Variables. To evaluate model statistics without creating new variables, specify TSET
NEWVAR=NONE prior to ARIMA. This could result in faster processing time. To add new variables
without erasing the values of Trends-generated variables, specify TSET NEWVAR=ALL.
This saves all new variables generated during the current session in the working data file and
may require extra processing time.
Forecasting. When used with the PREDICT command, an ARIMA model with no regressor variables
can produce forecasts and confidence limits beyond the end of the series (see PREDICT
in the SPSS Syntax Reference Guide).
The basic specification is the dependent series name. To estimate an ARIMA model, the
MODEL subcommand and/or separate parameter-order subcommands (or the APPLY subcommand)
must also be specified. Otherwise, only the constant will be estimated.
• ARIMA estimates the parameter values of a model using the parameter specifications on
the MODEL subcommand and/or the separate parameter-order subcommands P, D, Q, SP,
SD, and SQ.
• A 95% confidence interval is used unless it is changed by a TSET CIN command prior to
the ARIMA procedure.
• Unless the default on TSET NEWVAR is changed prior to ARIMA, five variables are automatically
created, labeled, and added to the working data file: fitted values (FIT#1), residuals
(ERR#1), lower confidence limits (LCL#1), upper confidence limits (UCL#1), and