IDENTIFY Statement
- IDENTIFY options;
The IDENTIFY statement must be used to produce plots of the sample Autocorrelation Functions (ACFs) and Partial Autocorrelation Functions (PACFs) for identifying the ARIMA part of a regARIMA model. Sample ACFs and PACFs are produced for all combinations of the nonseasonal and seasonal differences of the data specified by the DIFF and SDIFF options. If the REGRESSION statement is present, the ACFs and PACFs are calculated for the specified differences of a series of regression residuals. If the REGRESSION statement is not present, the ACFs and PACFs are calculated for the specified differences of the original data.
Tables printed in association with identification are "Autocorrelation of Model Residuals" and "Partial Autocorrelation of Model Residuals". If the REGRESSION statement is present, then the "Regression Model Parameter Estimates" table will also be printed.
The following options can appear in the IDENTIFY statement.
- DIFF= (order, order, order)
-
specifies orders of nonseasonal differencing. The value 0 specifies no
differencing, the value 1 specifies one nonseasonal difference
(1 - B), the value 2 specifies two nonseasonal differences
(1 - B)2, and so forth. The ACFs and PACFs are produced for all orders of nonseasonal differencing specified, in combination with all orders of seasonal differencing specified in the SDIFF= option. The default is DIFF=(0). You can specify up to three values for nonseasonal differences.
- SDIFF= (order, order, order)
-
specifies orders of seasonal differencing. The value 0 specifies no seasonal differencing, the value 1 specifies one seasonal difference (1 - Bs), the value 2 specifies two seasonal differences
(1 - Bs)2, and so forth. Here the value for s will correspond to the value of the SEASONS= option in the PROC X12 statement. The value of SEASONS= is supplied explicitly or is implicitly supplied through the INTERVAL= option or the values of the DATE= variable. The ACFs and PACFs are produced for all orders of seasonal differencing specified, in combination with all orders of nonseasonal differencing specified in the DIFF= option. The default is SDIFF=(0). You can specify up to three values for seasonal differences.
For example,
identify diff=(1) sdiff=(0, 1);
produces ACFs and PACFs for two models: (1 - B) and (1 - B)(1 - Bs).
Copyright © 2000 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
