Presample Data for regARIMA Model Simulation

When simulating realizations from a regression model with ARIMA errors, the software requires presample unconditional disturbances and innovations to initialize the error process. The regARIMA model property P stores the number of presample unconditional disturbances that you need to initialize the simulation. The property Q stores the number of presample innovations that you need to initialize the simulation.

You can specify your own presample data, or let simulate generate presample data. If you let simulate generate default presample data, then simulate sets the required number of presample unconditional disturbances and presample innovations to 0.

simulate only accepts presample data for the error process, even if the response and predictors are time series.

See Also

regARIMA | simulate

Related Examples

• Simulate Regression Models with ARMA Errors
• Simulate Regression Models with Nonstationary Errors
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More About

• Monte Carlo Simulation of Regression Models with ARIMA Errors
• Transient Effects in regARIMA Model Simulations
• Regression Models with Time Series Errors