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SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

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Limitations<br />

Example<br />

ARIMA 155<br />

• For ARIMA models with a fixed regressor, the number of forecasts and confidence intervals<br />

produced cannot exceed the number of observations for the regressor (independent)<br />

variable. Regressor series cannot be extended.<br />

• Models of series with imbedded missing observations can take longer to estimate.<br />

• Maximum 1 VARIABLES subcommand.<br />

• Maximum 1 dependent series. There is no limit on the number of independent series.<br />

• Maximum 1 model specification.<br />

ARIMA SALES WITH INTERVEN<br />

/MODEL=(0,1,1)(0,1,1).<br />

• This example specifies a multiplicative seasonal ARIMA model with a fixed regressor<br />

variable.<br />

• The dependent series is SALES, the regressor series is INTERVEN, and an ARIMA<br />

(0,1,1)(0,1,1) model with a constant term is estimated.<br />

VARIABLES Subcommand<br />

MODEL Subcommand<br />

VARIABLES specifies the dependent series and regressors, if any, and is the only required subcommand.<br />

The actual keyword VARIABLES can be omitted.<br />

• The dependent series is specified first, followed by the keyword WITH and the regressors<br />

(independent series).<br />

MODEL specifies the ARIMA model, period length, whether a constant term should be included<br />

in the model, and whether the series should be log transformed.<br />

• The model parameters are listed using the traditional ARIMA (p,d,q) (sp,sd,sq) syntax.<br />

• Nonseasonal parameters are specified with the appropriate p, d, and q values separated by<br />

commas and enclosed in parentheses.<br />

• The value p is a positive integer indicating the order of nonseasonal autoregressive parameters,<br />

d is a positive integer indicating the degree of nonseasonal differencing, and q<br />

is a positive integer indicating the nonseasonal moving-average order.<br />

• Seasonal parameters are specified after the nonseasonal parameters with the appropriate<br />

sp, sd, and sq values. They are also separated by commas and enclosed in parentheses.<br />

• The value sp is a positive integer indicating the order of seasonal autoregressive parameters,<br />

sd is a positive integer indicating the degree of seasonal differencing, and sq is a positive<br />

integer indicating the seasonal moving-average order.

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