QUESTION:

The attraction of Transfer Function modeling is that, apart from getting a superb fit and being confident

of forecasts, we gain a causal insight into the relationship between the input and output. The mechanics of

some of your internal adjustments are also of interest and I presume these are your own invention rather

than following something in the literature (which is apparently not yet complete). Is all this a trade

secret??

ANSWER:

To the contrary, AUTOBOX's procedures, approaches and implementations are all in the public domain,

well nearly all ! The identification of the relationship between time series and an iterative approach to the

"best model" were all outlined in the 1968 text by Box and Jenkins. Various dissertations and state-of

-the art research have winnowed down the number of things that can go wrong. AUTOBOX is very

aggressive in incorporating these ideas.