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st: ARIMA models - determining how much final model predicts actual trend


From   Kerri Coomber <Kerri.Coomber@cancervic.org.au>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ARIMA models - determining how much final model predicts actual trend
Date   Tue, 19 Jun 2012 21:22:01 +0000

Hi Statalist users,

I have been conducting a time series analysis using an arima model. I have specified my final model and would now like to determine how much this model (and therefore the covariates in the model) predict the actual downward trend in the data.  Basically I would like to be able to state that "Using the final model to predict the outcome variable we determined that it explained XX amount of change in the outcome, or XX% of the observed trend"

I have attempted this by using the predict y command.  I then calculated the difference in the predicted outcome (between the start and end if the series) and compared this to the actual change.  

It has also been suggested to me that I compare the predicted trend using the full model to the predicted trend using a model that does not have the covariates.  

Has anyone conducted such an analysis, or have any suggestions as to what may be the most appropriate approach?

Thank you for your consideration.

Best wishes,
Kerri



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