ARIMA Statement

The X12 Procedure

ARIMA Statement

ARIMA options;

The ARIMA statement specifies the ARIMA part of the regARIMA model. This statement defines a pure ARIMA model if the regression statement is omitted. 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 lag corresponding to seasonality is s. If s is omitted, it is set equal to the value used in the PROC X12 SEASONS= statement.

For example,

   proc x12 data=ICMETI seasons=12 start=jan1968;
      arima model=((2,1,1)(1,1,0));

specifies an ARIMA (2,1,1)(1,1,0)12 model.

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