how to pick the right ARIMA model

[podarum]

What signs and statistics shoudl I look for to know that I have the best ARIMA model?.. there's no R-squared..

[udo_sas · Accepted solution]

Hello -

Provided that "best" means an ARIMA model which produces the most accurate forecasts, then you might want to use one of the many forecasting accuracy statistics, see for example: http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_tffordet_sect0... - usually it is good practice to assess accuracy using out-of-sample data (see for example: http://www.forecastingprinciples.com/files/standardshort.pdf).

I'm assuming that you have access to SAS/ETS software, so you might want to have a look at the Time Series Forecasting System (see:http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfintro_toc.htm), which can provide some guidance for picking the most appropriate ARIMA model, see: http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfbstmod_toc.htm

Thanks,

Udo

[podarum]

Thanks Udo, very helpful info.