The ARIMA Procedure |
Stationarity and Invertibility |
By default, PROC ARIMA requires that the parameter estimates for the AR and MA parts of the model always remain in the stationary and invertible regions, respectively. The NOSTABLE option removes this restriction and for high-order models can save some computer time. Note that using the NOSTABLE option does not necessarily result in an unstable model being fit, since the estimates can leave the stable region for some iterations but still ultimately converge to stable values. Similarly, by default, the parameter estimates for the denominator polynomial of the transfer function part of the model are also restricted to be stable. The NOTFSTABLE option can be used to remove this restriction.
Copyright © 2008 by SAS Institute Inc., Cary, NC, USA. All rights reserved.