I have a series of data containing 120,000 points. The mean of each N(=60) point is zero. I want to forecast the next 60 points using the ARMA model. My question is, specificaly, how to choose the appropriate model parameters (p and q) and the size of the training set.
Particularly, I run the ADF Test while providing the 100,000 points and getting the following results:
ADF Statistic: -52.49 p-value: 0.0 Critial Values: 1%, -3.43 5%, -2.86 10%,-2.56
Then, I used a small subset of the data set (400 points) and applied the ADF test, and plotted ACF and PACF, the results are as follow: The last figure shows the absolute value of the FFT of the empirical ACF as follows.
ADF Statistic: -6.21 p-value: 5.38e-08 Critial Values: 1%, -3.44 5%, -2.86 10%,-2.57