RegARIMA Automatic Model Selection
/*--------------------------------------------------------------
SAS Sample Library
Name: x12ex04.sas
Description: Example program from SAS/ETS User's Guide,
The X12 Procedure
Title: RegARIMA Automatic Model Selection
Product: SAS/ETS Software
Keys: seasonal adjustment of time series
PROC: X12
Notes:
--------------------------------------------------------------*/
data sales;
set sashelp.air;
sales = air;
date = intnx( 'month', '01sep78'd, _n_-1 );
format date monyy.;
run;
title 'TRAMO Automatic Model Identification';
ods select ModelEstimation.AutoModel.UnitRootTestModel
ModelEstimation.AutoModel.UnitRootTest
ModelEstimation.AutoModel.AutoChoiceModel
ModelEstimation.AutoModel.Best5Model
ModelEstimation.AutoModel.AutomaticModelChoice
ModelEstimation.AutoModel.FinalModelChoice
ModelEstimation.AutoModel.AutomdlNote;
proc x12 data=sales date=date;
var sales;
transform function=log;
regression predefined=td;
automdl maxorder=(1,1)
print=unitroottest unitroottestmdl autochoicemdl best5model;
estimate;
x11;
output out=out(obs=23) a1 a2 a6 b1 c17 c20 d1 d7 d8 d9 d10
d11 d12 d13 d16 d18;
run;
proc print data=out(obs=23);
title 'Output Variables Related to Trading Day Regression';
run;