Creating ARIMA model with more than one time series
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Saad Khan on 20 Jan 2021
Commented: Saad Khan on 28 Jan 2021
Thank you for taking the time to read my problem.
I have three time series: Ozone, Humidity, Temperature
I want to create an ARIMA model that will take into account these three time series, but the econometric modeller is only allowing one at a time which is not what i am after.
I have attached a screenshot of what the data looks like.
Please any suggestions would be of great help.
Chidvi Modala on 25 Jan 2021
The modeler application in Econometric toolbox supports only univariate (i.e. single variables) modelling and analysis. I have brought this to the concerned people and it might be considered in any future release. However, for multivariate MATLAB does have some other models
The model which can be chosen is based on the type of the data you have (i.e. Stationary or Non-stationary)
1. If you have a stationary data you can use "Vector AutoRegression(VAR)" model.
- You can find the details of this model here: https://www.mathworks.com/help/econ/varm.html#bvojt3n
- This documentation page also gives an example of how to estimate and forecast this model for 2 variables: https://www.mathworks.com/help/econ/varm.html#bvn5dwm-1
2. If you have a non-stationary data, then you can use "vector error-correction (VEC)" model.
- You can find the details of this model here: https://www.mathworks.com/help/econ/vecm.html?searchHighlight=vecm&s_tid=doc_srchtitle#mw_bfb5830f-cd78-4a52-9120-149fd56c8baf
- You can find the examples for this model here: https://www.mathworks.com/help/econ/vecm.html?searchHighlight=vecm&s_tid=doc_srchtitle#mw_75f0e2db-ba30-4cc2-b01b-baff69100a7e
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