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Thread Subject:
ARIMA modelling and predictions

Subject: ARIMA modelling and predictions

From: Suyash

Date: 7 Nov, 2012 23:29:16

Message: 1 of 1

I am trying to use the ARIMA model in the econometrics toolbox. I have two columns of non-stationary time series that are highly correlated, say p and q. The goal is to quantify the sequential dependencies in series p, e.g if n is the current point in time series, effect of pn-1, qn-1, pn-2, qn-2 .... pn-j, qn-j on pn. The next problem is to remove such effect of the n-1 to n-j dependencies and forecast the the whole series of p for given array of q (same as in before).

I am not sure how I can execute the arima model in matlab to do so. Any help is appreciated! Thank you!


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