How to build the univariate ARIMA model for time series in STATA?
Autoregressive Integrated Moving Average (ARIMA) is popularly known as Box-Jenkins method. The emphasis of this method is on analyzing the probabilistic or stochastic properties of a single time series. Unlike regression models where Y is explained by X1 X2….XN regressor (like the introductory case where GDP is explained by GFC and PFC), ARIMA allows Y (GDP) to be explained by its own past or lagged values.
STATA for data analysis, time series analysis