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
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.