This example shows how to share the results of an Econometric Modeler app session by:

Exporting time series and model variables to the MATLAB

^{®}WorkspaceGenerating MATLAB plain text and live functions to use outside the app

Generating a report of your activities on time series and estimated models

During the session, the example transforms and plots data, runs
statistical tests, and estimates a multiplicative seasonal ARIMA model. The data set, which is stored in
`mlr/examples/econ/Data_Airline.mat`

, contains monthly counts of airline
passengers. The folder `mlr`

is the value of
`matlabroot`

.

At the command line, load the `Data_Airline.mat`

data set.

load(fullfile(matlabroot,'examples','econ','Data_Airline.mat'))

At the command line, open the **Econometric Modeler** app.

econometricModeler

Alternatively, open the app from the apps gallery (see **Econometric
Modeler**).

Import `DataTable`

into the app:

On the

**Econometric Modeler**tab, in the**Import**section, click .In the

**Import Data**dialog box, in the**Import?**column, select the check box for the`DataTable`

variable.Click

**Import**.

The variable `PSSG`

appears in the **Data
Browser**, and its time series plot appears in the **Time
Series Plot(PSSG)** figure window.

The series exhibits a seasonal trend, serial correlation, and possible exponential growth. For an interactive analysis of serial correlation, see Detect Serial Correlation Using Econometric Modeler App.

Address the exponential trend by applying the log transform to
`PSSG`

.

In the

**Data Browser**, select`PSSG`

.On the

**Econometric Modeler**tab, in the**Transforms**section, click**Log**.

The transformed variable `PSSGLog`

appears in the **Data Browser**, and its time series plot
appears in the **Time Series Plot(PSSGLog)** figure
window.

The exponential growth appears to be removed from the series.

Address the seasonal trend by applying the 12th order seasonal difference.
With `PSSGLog`

selected in the **Data
Browser**, on the **Econometric Modeler** tab, in
the **Transforms** section, set **Seasonal**
to `12`

. Then, click
**Seasonal**.

The transformed variable `PSSGLogSeasonalDiff`

appears in the **Data Browser**, and its time series plot
appears in the **Time Series Plot(PSSGLogSeasonalDiff)** figure
window.

The transformed series appears to have a unit root.

Test the null hypothesis that `PSSGLogSeasonalDiff`

has a unit root by using the Augmented Dickey-Fuller test. Specify that the
alternative is an AR(0) model, then test again specifying an AR(1) model. Adjust
the significance level to 0.025 to maintain a total significance level of 0.05.

With

`PSSGLogSeasonalDiff`

selected in the**Data Browser**, on the**Econometric Modeler**tab, in the**Tests**section, click**New Test**>**Augmented Dickey-Fuller Test**.On the

**ADF**tab, in the**Parameters**section, set**Significance Level**to`0.025`

.In the

**Tests**section, click**Run Test**.In the

**Parameters**section, set**Number of Lags**to`1`

.In the

**Tests**section, click**Run Test**.

The test results appear in the **Results** table of the
**ADF(PSSGLogSeasonalDiff)** document.

Both tests fail to reject the null hypothesis that the series is a unit root process.

Address the unit root by applying the first difference to
`PSSGLogSeasonalDiff`

. With
`PSSGLogSeasonalDiff`

selected in the
**Data Browser**, click the **Econometric
Modeler** tab. Then, in the **Transforms**
section, click **Difference**.

The transformed variable `PSSGLogSeasonalDiffDiff`

appears in the **Data Browser**, and its time series plot
appears in the **Time Series Plot(PSSGLogSeasonalDiffDiff)**
figure window.

Rename the `PSSGLogSeasonalDiffDiff`

variable to
`PSSGStable`

:

In the

**Data Browser**, right-click`PSSGLogSeasonalDiffDiff`

.In the context menu, select

**Rename**.Enter

`PSSGStable`

.

The app updates the names of all documents associated with the transformed series.

Determine the lag structure for a conditional mean model of the data by plotting the sample autocorrelation function (ACF) and partial autocorrelation function (PACF).

With

`PSSGStable`

selected in the**Data Browser**, click the**Plots**tab, then click**ACF**.Show the first 50 lags of the ACF. On the

**ACF**tab, set**Number of Lags**to`50`

.Click the

**Plots**tab, then click**PACF**.Show the first 50 lags of the PACF. On the

**PACF**tab, set**Number of Lags**to`50`

.Drag the

**ACF(PSSGStable)**figure window above the**PACF(PSSGStable)**figure window.

According to [1], the
autocorrelations in the ACF and PACF suggest that the following
SARIMA(0,1,1)×(0,1,1)_{12} model is appropriate for
`PSSGLog`

.

$$(1-L)\left(1-{L}^{12}\right){y}_{t}=\left(1+{\theta}_{1}L\right)\left(1+{\Theta}_{12}{L}^{12}\right){\epsilon}_{t}.$$

Close all figure windows.

Specify the SARIMA(0,1,1)×(0,1,1)_{12} model.

In the

**Data Browser**, select the`PSSGLog`

time series.On the

**Econometric Modeler**tab, in the**Models**section, click the arrow >**SARIMA**.In the

**SARIMA Model Parameters**dialog box, on the**Lag Order**tab:**Nonseasonal**sectionSet

**Degrees of Integration**to`1`

.Set

**Moving Average Order**to`1`

.Clear the

**Include Constant Term**check box.

**Seasonal**sectionSet

**Period**to`12`

to indicate monthly data.Set

**Moving Average Order**to`1`

.Select the

**Include Seasonal Difference**check box.

Click

**Estimate**.

The model variable `SARIMA_PSSGLog`

appears in the
**Data Browser**, and its estimation summary appears in the
**Model Summary(SARIMA_PSSGLog)** document.

Export `PSSGLog`

,
`PSSGStable`

, and
`SARIMA_PSSGLog`

to the MATLAB Workspace.

On the

**Econometric Modeler**tab, in the**Export**section, click .In the

**Export Variables**dialog box, select the**Select**check boxes for the`PSSGLog`

and`PSSGStable`

time series, and the`SARIMA_PSSGLog`

model (if necessary). The app automatically selects the check boxes for all variables that are highlighted in the**Data Browser**.Click

**Export**.

At the command line, list all variables in the workspace.

whos

Name Size Bytes Class Attributes Data 144x1 1152 double DataTable 144x1 3192 timetable Description 22x54 2376 char PSSGLog 144x1 1152 double PSSGStable 144x1 1152 double SARIMA_PSSGLog 1x1 7963 arima dates 144x1 1152 double series 1x1 162 cell

The contents of `Data_Airline.mat`

, the numeric vectors
`PSSGLog`

and `PSSGStable`

, and the
estimated `arima`

model object
`SARIMA_PSSGLog`

are variables in the workspace.

Forecast the next three years (36 months) of log airline passenger counts
using `SARIMA_PSSGLog`

. Specify the `PSSGLog`

as presample
data.

```
numObs = 36;
fPSSG = forecast(SARIMA_PSSGLog,numObs,'Y0',PSSGLog);
```

Plot the passenger counts and the forecasts.

fh = DataTable.Time(end) + calmonths(1:numObs); figure; plot(DataTable.Time,exp(PSSGLog)); hold on plot(fh,exp(fPSSG)); legend('Airline Passenger Counts','Forecasted Counts',... 'Location','best') title('Monthly Airline Passenger Counts, 1949-1963') ylabel('Passenger counts') hold off

Generate a MATLAB function for use outside the app. The function returns the
estimated model `SARIMA_PSSGLog`

given
`DataTable`

.

In the

**Data Browser**of the app, select the`SARIMA_PSSGLog`

model.On the

**Econometric Modeler**tab, in the**Export**section, click**Export**>**Generate Function**. The MATLAB Editor opens and contains a function named`modelTimeSeries`

. The function accepts`DataTable`

(the variable you imported in this session), transforms data, and returns the estimated SARIMA(0,1,1)×(0,1,1)_{12}model`SARIMA_PSSGLog`

.On the

**Editor**tab, click**Save**>**Save**.Save the function to your current folder by clicking

**Save**in the**Select File for Save As**dialog box.

At the command line, estimate the
SARIMA(0,1,1)×(0,1,1)_{12} model by passing
`DataTable`

to `modelTimeSeries.m`

. Name
the model `SARIMA_PSSGLog2`

. Compare the estimated model to
`SARIMA_PSSGLog`

.

SARIMA_PSSGLog2 = modelTimeSeries(DataTable); summarize(SARIMA_PSSGLog) summarize(SARIMA_PSSGLog2)

ARIMA(0,1,1) Model Seasonally Integrated with Seasonal MA(12) (Gaussian Distribution) Effective Sample Size: 144 Number of Estimated Parameters: 3 LogLikelihood: 276.198 AIC: -546.397 BIC: -537.488 Value StandardError TStatistic PValue _________ _____________ __________ __________ Constant 0 0 NaN NaN MA{1} -0.37716 0.066794 -5.6466 1.6364e-08 SMA{12} -0.57238 0.085439 -6.6992 2.0952e-11 Variance 0.0012634 0.00012395 10.193 2.1406e-24 ARIMA(0,1,1) Model Seasonally Integrated with Seasonal MA(12) (Gaussian Distribution) Effective Sample Size: 144 Number of Estimated Parameters: 3 LogLikelihood: 276.198 AIC: -546.397 BIC: -537.488 Value StandardError TStatistic PValue _________ _____________ __________ __________ Constant 0 0 NaN NaN MA{1} -0.37716 0.066794 -5.6466 1.6364e-08 SMA{12} -0.57238 0.085439 -6.6992 2.0952e-11 Variance 0.0012634 0.00012395 10.193 2.1406e-24

As expected, the models are identical.

Unlike a plain text function, a live function contains formatted text and equations that you can modify by using the Live Editor.

Generate a live function for use outside the app. The function returns the
estimated model `SARIMA_PSSGLog`

given
`DataTable`

.

In the

**Data Browser**of the app, select the`SARIMA_PSSGLog`

model.On the

**Econometric Modeler**tab, in the**Export**section, click**Export**>**Generate Live Function**. The Live Editor opens and contains a function named`modelTimeSeries`

. The function accepts`DataTable`

(the variable you imported in this session), transforms data, and returns the estimated SARIMA(0,1,1)×(0,1,1)_{12}model`SARIMA_PSSGLog`

.On the

**Live Editor**tab, in the**File**section, click**Save**>**Save**.Save the function to your current folder by clicking

**Save**in the**Select File for Save As**dialog box.

At the command line, estimate the
SARIMA(0,1,1)×(0,1,1)_{12} model by passing
`DataTable`

to `modelTimeSeries.m`

. Name
the model `SARIMA_PSSGLog2`

. Compare the estimated model to
`SARIMA_PSSGLog`

.

SARIMA_PSSGLog2 = modelTimeSeries(DataTable); summarize(SARIMA_PSSGLog) summarize(SARIMA_PSSGLog2)

ARIMA(0,1,1) Model Seasonally Integrated with Seasonal MA(12) (Gaussian Distribution) Effective Sample Size: 144 Number of Estimated Parameters: 3 LogLikelihood: 276.198 AIC: -546.397 BIC: -537.488 Value StandardError TStatistic PValue _________ _____________ __________ __________ Constant 0 0 NaN NaN MA{1} -0.37716 0.066794 -5.6466 1.6364e-08 SMA{12} -0.57238 0.085439 -6.6992 2.0952e-11 Variance 0.0012634 0.00012395 10.193 2.1406e-24 ARIMA(0,1,1) Model Seasonally Integrated with Seasonal MA(12) (Gaussian Distribution) Effective Sample Size: 144 Number of Estimated Parameters: 3 LogLikelihood: 276.198 AIC: -546.397 BIC: -537.488 Value StandardError TStatistic PValue _________ _____________ __________ __________ Constant 0 0 NaN NaN MA{1} -0.37716 0.066794 -5.6466 1.6364e-08 SMA{12} -0.57238 0.085439 -6.6992 2.0952e-11 Variance 0.0012634 0.00012395 10.193 2.1406e-24

As expected, the models are identical.

Generate a PDF report of all your actions on the
`PSSGLog`

and `PSSGStable`

time series, and the `SARIMA_PSSGLog`

model.

On the

**Econometric Modeler**tab, in the**Export**section, click**Export**>**Generate Report**.In the

**Select Variables for Report**dialog box, select the**Select**check boxes for the`PSSGLog`

and`PSSGStable`

time series, and the`SARIMA_PSSGLog`

model (if necessary). The app automatically selects the check boxes for all variables that are highlighted in the**Data Browser**.Click

**OK**.In the

**Select File to Write**dialog box, navigate to the`C:\MyData`

folder.In the

**File name**box, type`SARIMAReport`

.Click

**Save**.

The app publishes the code required to create
`PSSGLog`

, `PSSGStable`

,
and `SARIMA_PSSGLog`

in the PDF
`C:\MyData\SARIMAReport.pdf`

. The report includes:

A title page and table of contents

Plots that include the selected time series

Descriptions of transformations applied to the selected times series

Results of statistical tests conducted on the selected time series

Estimation summaries of the selected models

[1]
Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. *Time Series Analysis: Forecasting and Control*. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.