Regression modelEconometrics / time series
ARIMA Model (Autoregressive Integrated Moving Average)
The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.
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Sources
- Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗
- Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press. ISBN: 978-0691042893
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