The ARIMA Procedure
- Overview
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Getting Started
The Three Stages of ARIMA ModelingIdentification StageEstimation and Diagnostic Checking StageForecasting StageUsing ARIMA Procedure StatementsGeneral Notation for ARIMA ModelsStationarityDifferencingSubset, Seasonal, and Factored ARMA ModelsInput Variables and Regression with ARMA ErrorsIntervention Models and Interrupted Time SeriesRational Transfer Functions and Distributed Lag ModelsForecasting with Input VariablesData Requirements -
Syntax
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DetailsThe Inverse Autocorrelation FunctionThe Partial Autocorrelation FunctionThe Cross-Correlation FunctionThe ESACF MethodThe MINIC MethodThe SCAN MethodStationarity TestsPrewhiteningIdentifying Transfer Function ModelsMissing Values and AutocorrelationsEstimation DetailsSpecifying Inputs and Transfer FunctionsInitial ValuesStationarity and InvertibilityNaming of Model ParametersMissing Values and Estimation and ForecastingForecasting DetailsForecasting Log Transformed DataSpecifying Series PeriodicityDetecting OutliersOUT= Data SetOUTCOV= Data SetOUTEST= Data SetOUTMODEL= SAS Data SetOUTSTAT= Data SetPrinted OutputODS Table NamesStatistical Graphics
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Examples
- References
When identifying a transfer function model with multiple input variables, the cross-correlation functions can be misleading if the input series are correlated with each other. Any dependencies among two or more input series will confound their cross-correlations with the response series.
The prewhitening technique assumes that the input variables do not depend on past values of the response variable. If there is feedback from the response variable to an input variable, as evidenced by significant cross-correlation at negative lags, both the input and the response variables need to be prewhitened before meaningful cross-correlations can be computed.
PROC ARIMA cannot handle feedback models. The STATESPACE and VARMAX procedures are more appropriate for models with feedback.