SARIMAX Modeling

SARIMAX is essentially a linear regression model that uses a seasonal ARIMA-type model for residuals.

The ARMAX Model Wizard in NumXL automates the SARIMAX model construction steps: guessing initial parameters, parameters validation, the goodness of fit testing, and residuals diagnosis.

Process

To use this functionality, select an empty cell in your worksheet and locate/select the ARMAX icon on the toolbar (or the menu item):

The NumXL ARMAX/SARIMAX Model Wizard pops up.

By default, the output is set to reference the active cells on your worksheet. Next, select or point to the cells range where you store the input (dependent) data sample and the exogenous (explanatory/independent) variables on your worksheet.

Once you select the input data, the Model and Options tabs are enabled. Click the Model tab now.

For SARIMAX, we need to select the "Seasonal" check-box. Enter the season length and the different orders of seasonal and non-seasonal components of the SARIMA model.

Now, click on the Options tab.

On this tab, we can instruct the Model Wizard on whether to generate goodness of fit and residual diagnosis tables. We can also determine how it should initialize the values of the model's parameters, with either a quick guess or calibrated optimal values.

Output

Upon completion, the SARIMAX modeling function outputs the selected model's parameters and selected tests/calculations in the designated location of your worksheet.

Tutorial Video