MR vs ARIMA (Multiple Regression vs Auto Regressive Integrated

MR vs ARIMA (Multiple Regression vs Auto Regressive Integrated

Dear Colleagues,

Can anyone help in pointing out to me  sources of information to carry out a
comparison between the MR (Multiple Regression) and the ARIMA (Auto
Regressive Integrated Moving Average) techniques and to draw a comparison
between their Advantages/Disadvantages and Limitations.  I will appreciate
very much your help.

Best Regards

Mahmoud

MR vs ARIMA (Multiple Regression vs Auto Regressive Integrated

Quote:

> Dear Colleagues,

> Can anyone help in pointing out to me  sources of information to carry out a
> comparison between the MR (Multiple Regression) and the ARIMA (Auto
> Regressive Integrated Moving Average) techniques and to draw a comparison
> between their Advantages/Disadvantages and Limitations.  I will appreciate
> very much your help.

Box, George E. P., et al., Time Series Analysis: Forecasting & Control
(3rd Edition)

Hi All

I got a very strange result.
I use a set of data(32 data) and try to estimate the parameter of
ARIMA(5,0,0) using Minitab and Matlab. (Minitab is just for
benchmarking).

The Matlab Result :
a: [1 -0.6461 -0.1922 -0.1807 -0.1281 0.1769]
b: []
c: 1
d: 1
f: []
da: [0 0.1650 0.1961 0.1930 0.2049 0.1821]

The Minitab Result of Parameters are:
p0=323.92; p1=0.4735; p2=0.1418; p3=0.1416; p4=-0.0207; p5=-0.4921

1) There a big different between the result of parameter.
2) and of course the result of forecasting aslo difference.

Below is how i use the Matlab:
y=[259;262;218;372;669;435;396;536;600;654;586;570.9166667;445.0833333
;501.5;257;500.5833333;257;342.5;437;350.4166667;289.8333333;339.08333
33;393.75;378;528.1666667;628.4166667;531;545.8333333;671.1666667;436;
310.25;286]
y = iddata(y);
fb = ar(y,5,'burg');

Is this because i use the wrong step in Matlab ?
OR
Is Matlab's AR(5) = Minitab's ARIMA(5,0,0) ?

Any idea ?

Thanks for your helps
Lee