Main Content

Conditional Mean Models

Autoregressive (AR), moving average (MA), ARMA, ARIMA, ARIMAX, and seasonal models

Apps

Econometric ModelerAnalyze and model econometric time series

Functions

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arimaCreate univariate autoregressive integrated moving average (ARIMA) model
LagOpCreate lag operator polynomial
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
estimateFit autoregressive integrated moving average (ARIMA) model to data
inferInfer ARIMA or ARIMAX model residuals or conditional variances
summarizeDisplay ARIMA model estimation results
simulateMonte Carlo simulation of ARIMA or ARIMAX models
filterFilter disturbances using ARIMA or ARIMAX model
impulseGenerate univariate autoregressive integrated moving average (ARIMA) model impulse response function (IRF)
armairfGenerate or plot ARMA model impulse responses
forecastForecast univariate autoregressive integrated moving average (ARIMA) model responses or conditional variances

Examples and How To

Create Model

Fit Model to Data

Generate Simulations or Impulse Responses

Generate Minimum Mean Square Error Forecasts

Concepts