SPSS® 12.0 Command Syntax Reference

154 Syntax Reference
Subcommand Order
Syntax Rules
Operations
standard errors of prediction (SEP#1). (For variable naming and labeling conventions, see
“New Variables” on p. 1734.)
• By default, ARIMA will iterate up to a maximum of 10 unless one of three termination criteria
is met: the change in all parameters is less than the TSET CNVERGE value (the default
value is 0.001); the sum-of-squares percentage change is less than 0.001%; or the
Marquardt constant exceeds 10 9 (1.0E9).
• At each iteration, the Marquardt constant and adjusted sum of squares are displayed. For
the final estimates, the displayed results include the parameter estimates, standard errors,
t ratios, estimate of residual variance, standard error of the estimate, log likelihood,
Akaike’s information criterion (AIC) (Akaike, 1974), Schwartz’s Bayesian criterion
(SBC) (Schwartz, 1978), and covariance and correlation matrices.
• Subcommands can be specified in any order.
• VARIABLES can be specified only once.
• Other subcommands can be specified more than once, but only the last specification of
each one is executed.
• The CONSTANT, NOCONSTANT, NOLOG, LN, and LOG specifications are optional keywords
on the MODEL subcommand and are not independent subcommands.
• If differencing is specified in models with regressors, both the dependent series and the
regressors are differenced. To difference only the dependent series, use the DIFF or SDIFF
function on CREATE to create a new series (see CREATE in the SPSS Syntax Reference
Guide).
• When ARIMA is used with the PREDICT command to forecast values beyond the end of
the series, the original series and residual variable are assigned the system-missing value
after the last case in the original series.
• The USE and PREDICT ranges cannot be exactly the same; at least one case from the USE
period must precede the PREDICT period. (See USE and PREDICT in the SPSS Syntax Reference
Guide
• If a LOG or LN transformation is specified, the residual (error) series is reported in the
logged metric; it is not transformed back to the original metric. This is so the proper diagnostic
checks can be done on the residuals. However, the predicted (forecast) values
are transformed back to the original metric. Thus, the observed value minus the predicted
value will not equal the residual value. A new residual variable in the original metric can
be computed by subtracting the predicted value from the observed value.
• Specifications on the P, D, Q, SP, SD, and SQ subcommands override specifications on
the MODEL subcommand.