Simulated IMA Model
/*--------------------------------------------------------------
SAS Sample Library
Name: ariex01.sas
Description: Example program from SAS/ETS User's Guide,
The ARIMA Procedure
Title: Simulated IMA Model
Product: SAS/ETS Software
Keys: time series analysis
PROC: ARIMA
Notes:
--------------------------------------------------------------*/
ods graphics on;
title1 'Simulated IMA(1,1) Series';
data a;
u1 = 0.9; a1 = 0;
do i = -50 to 100;
a = rannor( 32565 );
u = u1 + a - .8 * a1;
if i > 0 then output;
a1 = a;
u1 = u;
end;
run;
/*-- Simulated IMA Model --*/
proc arima data=a;
identify var=u;
run;
identify var=u(1);
run;
estimate q=1 ;
run;
quit;