The X12 Procedure |
ARIMA Statement |
The ARIMA statement specifies the ARIMA part of the regARIMA model. This statement defines a pure ARIMA model if no REGRESSION statements, INPUT statements, or EVENT statements are specified. The ARIMA part of the model can include multiplicative seasonal factors.
The following option can appear in the ARIMA statement.
specifies the ARIMA model. The format follows standard Box-Jenkins notation (Box, Jenkins, and Reinsel; 1994). The nonseasonal AR and MA orders are given by p and q, respectively, while the seasonal AR and MA orders are given by P and Q. The number of differences and seasonal differences are given by d and D, respectively. The notation (p d q) and (P D Q) can also be specified as (p, d, q) and (P, D, Q). The maximum lag of any AR or MA parameter is 36. The maximum value of a difference order, d or D, is 144. All values for p, d, q, P, D, and Q should be nonnegative integers. The lag that corresponds to seasonality is s; s should be a positive integer. If s is omitted, it is set equal to the value used in the SEASONS= option in the PROC X12 statement.
For example, the following statements specify an ARIMA (2,1,1)(1,1,0)12 model:
proc x12 data=ICMETI seasons=12 start=jan1968; arima model=((2,1,1)(1,1,0));
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