SPSS® 12.0 Command Syntax Reference

D Order of differencing.
Q Moving-average order.
SP Seasonal autoregressive order.
SD Order of seasonal differencing.
ARIMA 157
SQ Seasonal moving-average order.
• The specification on P, Q, SP, or SQ indicates which lags are to be fit and can be a single
positive integer or a list of values in parentheses.
• A single value n denotes lags 1 through n.
• A single value in parentheses, for example (n), indicates that only lag n should be fit.
• A list of values in parentheses (i, j, k) denotes lags i, j, and k only.
• You can specify as many values in parentheses as you want.
• D and SD indicate the degrees of differencing and can be specified only as single values,
not value lists.
• Specifications on P, D, Q, SP, SD, and SQ override specifications for the corresponding
parameters on the MODEL subcommand.
Example
ARIMA SALES
/P=2
/D=1.
ARIMA INCOME
/MODEL=LOG NOCONSTANT
/P=(2).
ARIMA VAR01
/MODEL=(1,1,4)(1,1,4)
/Q=(2,4)
/SQ=(2,4).
ARIMA VAR02
/MODEL=(1,1,0)(1,1,0)
/Q=(2,4)
/SQ=(2,4).
• The first command fits a model with autoregressive parameters at lags 1 and 2 (P=2) and
one degree of differencing (D=1) for the series SALES. This command is equivalent to:
ARIMA SALES
/MODEL=(2,1,0).
• In the second command, the series INCOME is log transformed and no constant term is estimated.
There is one autoregressive parameter at lag 2, as indicated by P=(2).
• The third command specifies a model with one autoregressive parameter, one degree of
differencing, moving-average parameters at lags 2 and 4, one seasonal autoregressive parameter,
one degree of seasonal differencing, and seasonal moving-average parameters at
lags 2 and 4. The 4’s in the MODEL subcommand for moving average and seasonal moving
average are ignored because of the Q and SQ subcommands.