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    I need to know the Excel formulas for an ARIMA analysis of a time series.

    Asked Mar 14, 2010, 03:00 AM 3 Answers
    I have a weekly numerical time series for which I need to forecast the nest in the series. ARIMA seems a promising approach. Can anyone who is a statistics wiseguy supply the Excel formulas?

    TIA,

    Last edited by Curlyben; Mar 14, 2010 at 03:40 AM.
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    ROLCAM's Avatar
    ROLCAM Posts: 1,420, Reputation: 23
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    #2

    Mar 14, 2010, 04:02 AM

    Spreadsheet implementation: ARIMA models such as those described above are easy to implement on a spreadsheet. The prediction equation is simply a linear equation that refers to past values of original time series and past values of the errors. Thus, you can set up an ARIMA forecasting spreadsheet by storing the data in column A, the forecasting formula in column B, and the errors (data minus forecasts) in column C. The forecasting formula in a typical cell in column B would simply be a linear expression referring to values in preceding rows of columns A and C, multiplied by the appropriate AR or MA coefficients stored in cells elsewhere on the spreadsheet.
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    ROLCAM's Avatar
    ROLCAM Posts: 1,420, Reputation: 23
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    #3

    Mar 14, 2010, 04:08 AM

    greasedlight,

    Please see:-

    Introduction to ARIMA models
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    spiderxl's Avatar
    spiderxl Posts: 1, Reputation: 2
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    #4

    Feb 15, 2012, 05:26 PM
    Calculating the forecast errors for an ARIMA model is not straight-forward, and without a proper confidence interval, any forecast is worthless.

    I strongly recommend to either use a statistical package with Excel Add-in interface (e.g. E-Views, SAS, R, SPSS, S-Plus), or a Econometric excel add-in (e.g. XLStat, NumXL, etc). They all enhance excel analytical capabilities and make econometric type of analysis much easier.

    Regards.


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