Here is a script that I believe will give you what you want
Names Default To Here( 1 );
dt = Current Data Table();
ts = Time Series(invisible,
X( :month ),
Y( :indexed prices ),
Forecast Periods( 24 ),
By( :RegionName of Zillow Data )
);
// Start final table
dtFinal = New Table( "Final", New Column( "RegionName of Zillow Data", character ) );
// Loop across output creating ARIMA and the Save Columns
For( i = 1, i <= N Items( ts ), i++,
objt = ts[i] << arima( 1, 1, 0 );
dtTemp = objt << save columns;
// Add the By Group name to the data table
RZD = Word( 2, Report( ts[i] )[Outline Box( 1 )] << get title, "=" );
dtTemp << New Column( "RegionName of Zillow Data", character, set each value( RZD ) );
// Add the new table to the Final data table
dtFinal << concatenate( dtTemp, Append to first table( 1 ) );
Close( dtTemp, nosave );
);
Jim