A BY statement can be used in the ARIMA procedure to process a data set in groups of observations defined by the BY variables. Note that all IDENTIFY, ESTIMATE, and FORECAST statements specified are applied to all BY groups.

Because of the need to make data-based model selections, BY-group processing is not usually done with PROC ARIMA. You usually want to use different models for the different series contained in different BY groups, and the PROC ARIMA BY statement does not let you do this.

Using a BY statement imposes certain restrictions. The BY statement must appear before the first RUN statement. If a BY statement is used, the input data must come from the data set specified in the PROC statement; that is, no input data sets can be specified in IDENTIFY statements.

When a BY statement is used with PROC ARIMA, interactive processing applies only to the first BY group. Once the end of the PROC ARIMA step is reached, all ARIMA statements specified are executed again for each of the remaining BY groups in the input data set.