Macroeconomic model reference

SARIMA Model

Seasonal ARIMA -- extends ARIMA with explicit seasonal AR, differencing, and MA terms for series with calendar structure.

Empirical forecasting models · Sources

SARIMA sources, papers, and evidence trail

Primary papers, model variants, source notes, and review signals behind the SARIMA page.

Reference material used for orientation; read primary and academic sources first when claims conflict.

[S1] Reference
Box, Jenkins, and Reinsel (1976) -- Time Series Analysis: Forecasting and Control, 2nd ed. Formalized the multiplicative seasonal ARIMA structure.
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[S2] Reference
Hillmer and Tiao (1982) -- An ARIMA-model-based approach to seasonal adjustment (Journal of the American Statistical Association). Founded the model-based seasonal adjustment methodology used in SEATS.
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[S3] Reference
Gomez and Maravall (1996) -- Programs TRAMO and SEATS: Instructions for the user. The technical reference for the SEATS algorithm embedded in X-13ARIMA-SEATS.
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[S4] Reference
Hyndman and Khandakar (2008) -- Automatic time series forecasting: the forecast package for R (Journal of Statistical Software). Codified automatic SARIMA fitting with stepwise AICc.
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[S5] Reference
Findley, Monsell, Bell, Otto, and Chen (1998) -- New capabilities and methods of the X-12-ARIMA seasonal adjustment program (Journal of Business and Economic Statistics). Documented the integration of regARIMA with X-12 that evolved into X-13.
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