The ARIMA Procedure
- Overview
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Getting Started
The Three Stages of ARIMA Modeling Identification Stage Estimation and Diagnostic Checking Stage Forecasting Stage Using ARIMA Procedure Statements General Notation for ARIMA Models Stationarity Differencing Subset, Seasonal, and Factored ARMA Models Input Variables and Regression with ARMA Errors Intervention Models and Interrupted Time Series Rational Transfer Functions and Distributed Lag Models Forecasting with Input Variables Data Requirements -
Syntax
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Details
The Inverse Autocorrelation Function The Partial Autocorrelation Function The Cross-Correlation Function The ESACF Method The MINIC Method The SCAN Method Stationarity Tests Prewhitening Identifying Transfer Function Models Missing Values and Autocorrelations Estimation Details Specifying Inputs and Transfer Functions Initial Values Stationarity and Invertibility Naming of Model Parameters Missing Values and Estimation and Forecasting Forecasting Details Forecasting Log Transformed Data Specifying Series Periodicity Detecting Outliers OUT= Data Set OUTCOV= Data Set OUTEST= Data Set OUTMODEL= SAS Data Set OUTSTAT= Data Set Printed Output ODS Table Names Statistical Graphics
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Examples
- References
| The Three Stages of ARIMA Modeling |
The analysis performed by PROC ARIMA is divided into three stages, corresponding to the stages described by Box and Jenkins (1976).
In the identification stage, you use the IDENTIFY statement to specify the response series and identify candidate ARIMA models for it. The IDENTIFY statement reads time series that are to be used in later statements, possibly differencing them, and computes autocorrelations, inverse autocorrelations, partial autocorrelations, and cross-correlations. Stationarity tests can be performed to determine if differencing is necessary. The analysis of the IDENTIFY statement output usually suggests one or more ARIMA models that could be fit. Options enable you to test for stationarity and tentative ARMA order identification.
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In the estimation and diagnostic checking stage, you use the ESTIMATE statement to specify the ARIMA model to fit to the variable specified in the previous IDENTIFY statement and to estimate the parameters of that model. The ESTIMATE statement also produces diagnostic statistics to help you judge the adequacy of the model.
Significance tests for parameter estimates indicate whether some terms in the model might be unnecessary. Goodness-of-fit statistics aid in comparing this model to others. Tests for white noise residuals indicate whether the residual series contains additional information that might be used by a more complex model. The OUTLIER statement provides another useful tool to check whether the currently estimated model accounts for all the variation in the series. If the diagnostic tests indicate problems with the model, you try another model and then repeat the estimation and diagnostic checking stage.
In the forecasting stage, you use the FORECAST statement to forecast future values of the time series and to generate confidence intervals for these forecasts from the ARIMA model produced by the preceding ESTIMATE statement.
These three steps are explained further and illustrated through an extended example in the following sections.