Dear Salaam,
In your ARIMA (2,3,0), you are telling R you are saying that the order of
differencing is 3. Have you chequed that you actually differenced the
series with d = 3?
Regards,
2013/8/5 Salaam Batur <swordligh...@gmail.com>
> Dear R users,
>
> I picked up ARIMA(2,3,0) model for my time series analysis using
> auto.arima() function.
>
> >From my understanding, the model should be in this shape:
>
>
> [Y(hat)(t)-Y(t-1)]-2[Y(t-1)-Y(t-2)]+[Y(t-2)-Y(t-3)]=Theta(1){[(Y(t-1)-Y(t-2)]-2[(Y(t-2)-Y(t-3)]+[Y(t-3)-Y(t-4)]}+Theta(2){[Y(t-2)-Y(t-3)]-2[Y(t-3)-Y(t-4)]+[Y(t-4)-Y(t-5)]}+mu(e(t))
>
> which in this case, mu(e(t))=0, cause the residuals' mean is assumed and
> estimated as zero.
>
> In R, when t is 2013, the estimation value of Y(hat) is 7.084688, which is
> different from my own calculation 7.1882, according to the model above.
>
> Do you think that I missed something?
> And is there any way that I can simplify the model or the differential
> equation above???
>
> Many thanks,
> Chintemur Batur
>
>
>
> ############################################################################
>
> Here is the code
> library(tseries)
> library(forecast)
> d=scan("D:/Data.txt")
> d
> D=ts(data=d, start=1981,end=2012, frequency=1)
> D
>
> ##############################################################################
> Time Series:
> Start = 1981
> End = 2012
> Frequency = 1
> [1] 384 403 427 450 499 550 575 615 640 680 702 730 760 790
> [15] 790 830 870 871 906 920 968 1010 1060 1111 1165 1191 1217 1221
> [29] 1089 1089 1090 1103
>
> #############################################################################
>
> lnD=log(D)
> lnD3=diff(lnD, differences=3)
> adf.test(lnD3)
>
> par(mfrow=c(3,1))
> acf(lnD3, lag.max=20)
> pacf(lnD3, lag.max=20)
>
> autoarima=auto.arima(lnD,d=3)
> summary(autoarima)
> Box.test(autoarima$residuals,lag=20,type="Ljung-Box")
> ForecastAutoArima=forecast.Arima(autoarima, h=5, c=(0.95))
> plot.forecast(ForecastAutoArima)
>
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>
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