Choosing ARIMA model
You are trying to figure out which ARIMA model is the best fit for a dataset after trying different degrees of differencing and applying the Augmented Dicky-Fuller test on the differenced data. The test statistics were these:
| Order of difference | ADF statistic | p-value |
|---|---|---|
| 0 | 2.198 | 0.999 |
| 1 | -2.598 | 0.093 |
| 2 | -14.448 | 0.000 |
| 3 | -17.147 | 0.000 |
Which kind of ARIMA model should you fit to this time series data?
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