Automatic Modeling Methods for Univariate Series

Víctor Gómez and Agustin Maravall ()

Working Papers from Banco de España

Abstract: In this article, a unified approach to automatic modeling for univariate series is presented. First, ARIMA models and the classical methods for fitting these models to a given time series are reviewed. Second, some objective methods for model identification are considered and some algorithmical procedures for automatic model identification are described. Third, outliers are incorporated into the model and an algorithm, for automatic model identification in the presence of outliers is proposed.

Keywords: MODELS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 50 pages
Date: 1998
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Citations: View citations in EconPapers (31)

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Software Item: GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9808

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