Modeling

Proud Economy 0008

“The model is generally referred to as an ARIMA(p,d,q) model where parameters p, d, and q are non-negative integers that refer to the order of the autoregressive, integrated, and moving average parts of the model respectively. ARIMA models form an important part of the Box-Jenkins approach to time-series modelling.” wikipedia

I first learned about ARIMA models by taking an econometrics course at the University of Washington in 1976 (I think) from Charles R. Nelson. I took the class as a hobby and never followed up on it, even though I've thought about the material much. Along with the original “Time series analysis: Forecasting and control” by George Box and Gwilym Jenkins (1970, Holden-Day), we used Nelson's “Applied Time Series Analysis for Managerial Forecasting” and in the cover of my copy, which I still have, are a couple of hand written programs for an HP55 programable calculator. 1976 was pre-personal computers, so computer access was by submitting batch jobs on punch cards at the university computer center and picking up the output listing the next day. I had a new HP55 programmable calculator. Wow, this dates me, but it explains the direction that I've been taking my posts in the blog. There are now lots of standard econometrics textbooks with the ARIMA models.

Professor Nelson, now apparently retired, still has a presence on the UW Econ site, with his Student Help Page. That links to related information at Professor Fair's site at Yale and his thoughts on Macroeconometric Modeling. These can be used as references for macroeconomics and modeling, along with the wikipedia. I'm rambling in this post and have strayed from the ARIMA models, but this is the type of information that I had hoped to find for the blog.

Gary Young