This value is the long-term change in the response for a continued (step) increase in the predictor.
If the system is stable and you've created a sufficient number of time points to allow for the model (i.e., the ARIMA and seasonal ARIMA properties and any lags included in the transfer function(s), you should see a point at which the differences are stable. In the menus, Transform>Compute Variable. Other than specifying the file and the saving of predictions, no other changes need be made, but you can turn off output if desired.Ĥ) Change the predictor variable of interest by the unit change of interest (typically 1) for all cases in the dataset.ĥ) Run TSAPPLY again, again saving predictions.Ħ) Compute the difference between the two saved sets of predictions, subtracting the first set from the second set.
#CALCULATING IPULSE SERIES#
Following is an example for monthly data, where a series is extended for two years following December of 2012, with a predictor named X and a dependent named Y:ģ) Run TSAPPLY (Apply Models), saving forecasts (Predicted Values on the Save tab of the dialog). It can also be done using command syntax with an input program. This can be done either in the Data Editor by typing in data and using Data>Define Dates.
In command syntax, you use the OUTFILE keyword on the MODEL subcommand.Ģ) Create a new data file containing a sufficient number of cases or time periods to accommodate the model of interest, each case containing a value of 0 for the predictor(s) and missing values for the dependent variable series, along with a DATE_ variable that begins one time point beyond the end of the observed series on which the model was derived. The option to save the model to an XML file is on the Save tab of the TSMODEL (Create Models) dialog box. To do this, execute the following steps:ġ) Run the desired transfer function model, saving the model to an XML file. This option accesses the TSAPPLY procedure, which allows you to apply a saved model to new data, and this functionality makes it relatively easy to compute the impulse and step response functions or changes in forecasts/predictions associated with either a pulse or step change in a predictor in a transfer function model.
Underneath that on the menus is an option to Apply Models. The procedure accessed via Analyze>Forecasting>Create Models is the TSMODEL procedure. This can be done using the scoring functionality of the Forecasting module.
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