The X12 Procedure

ARIMA Statement

  • ARIMA option;

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:

MODEL=((p d q) (P D Q)s)

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 seasonality parameter, s, should be a positive integer. If s is omitted, it is set equal to the value that is specified 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));