GMAutoFit—Selects multiplicative seasonal ARIMA model

[TomDoan]

@GMAUTOFIT does an automatic fit of a multiplicative seasonal ARMA model to a series after the differencing operations have been determined. This follows the procedure described in Gomez and Maravall, "Automatic Modeling Methods for Univariate Series", in Peña, Tiao and Tsay, eds., "A Course in Time Series Analysis", New York: Wiley, 2001, and is very similar to the procedure used in X12-ARIMA.

Detailed description