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I would appreciate if some experienced practicioners share with me how they identify a true ARIMA model, step by step. Because, books show 1-2 general examples from which is not possible to draw some general conclusions.

Mr Doe, I read a couple of source providers and I'm sure that AR(p) is found from PAC and MA(q) from AC. For example, if you go to http://www.duke.edu/~rnau/411arim3.htm and have a look at Rules 6 and 7, it writes: The lag at which the PACF cuts off is the indicated number of AR terms. The...

Guys, please correct me if I'm wrong. For the specialists it's a 1-minute question. So, in order to correctly identify ARIMA(p,n,q), I should do: We should stationarize model, finding a proper n-order difference From stationary data we take correlogram and look at PAC to identify p-order of AR...

Pulco, your help is great. I read your material you sent me (Eviews manual). So, my interest was how to correctly identify p in AR(p) and q in MA(q). In that book is written that p is equal to significant spikes in PAC and q is equal to significant spikes in AC. If I compare with Gudjarati's...

you wanted to say return itself and not log-return is stationary. or difference in log stock price, which is return, the formula you wrote y(t) = ln(x(t)/x(t-1)) = ln(x(t)) - ln(x(t-1)). what about other financial time series such as interest rate, exchange rate, GDP. we also use logarithm...

Pulco, what you say is the following: we should work with log stock price because it closely fits to theoretical assumptions, such as distribution, iid etc.? did I correctly understand you? so, any financial time-series data should be analysis as a logarithm of the data and not the data...

Hi Hi all, My name is Vadim, from Italy. I'm a quant amateur. Hence, I would appreciate your expertize and help.

I'm learning ARIMA modelling and met some practical questions: in which case should we analyze a stock price or logarithm transformation of stock price. and what about other economic/financial data such as GDP, interest rate, exchange rate? which is the rational? we should have a stationary...