The ARIMA Procedure
- Overview
-
Getting Started
The Three Stages of ARIMA ModelingIdentification StageEstimation and Diagnostic Checking StageForecasting StageUsing ARIMA Procedure StatementsGeneral Notation for ARIMA ModelsStationarityDifferencingSubset, Seasonal, and Factored ARMA ModelsInput Variables and Regression with ARMA ErrorsIntervention Models and Interrupted Time SeriesRational Transfer Functions and Distributed Lag ModelsForecasting with Input VariablesData Requirements -
Syntax
-
DetailsThe Inverse Autocorrelation FunctionThe Partial Autocorrelation FunctionThe Cross-Correlation FunctionThe ESACF MethodThe MINIC MethodThe SCAN MethodStationarity TestsPrewhiteningIdentifying Transfer Function ModelsMissing Values and AutocorrelationsEstimation DetailsSpecifying Inputs and Transfer FunctionsInitial ValuesStationarity and InvertibilityNaming of Model ParametersMissing Values and Estimation and ForecastingForecasting DetailsForecasting Log Transformed DataSpecifying Series PeriodicityDetecting OutliersOUT= Data SetOUTCOV= Data SetOUTEST= Data SetOUTMODEL= SAS Data SetOUTSTAT= Data SetPrinted OutputODS Table NamesStatistical Graphics
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Examples
- References
The statements and options that control the ARIMA procedure are summarized in Table 7.3.
Table 7.3: Functional Summary
|
Description |
Statement |
Option |
|---|---|---|
|
Data Set Options |
||
|
specify the input data set |
PROC ARIMA |
DATA= |
|
IDENTIFY |
DATA= |
|
|
specify the output data set |
PROC ARIMA |
OUT= |
|
FORECAST |
OUT= |
|
|
include only forecasts in the output data set |
FORECAST |
NOOUTALL |
|
write autocovariances to output data set |
IDENTIFY |
OUTCOV= |
|
write parameter estimates to an output data set |
ESTIMATE |
OUTEST= |
|
write correlation of parameter estimates |
ESTIMATE |
OUTCORR |
|
write covariance of parameter estimates |
ESTIMATE |
OUTCOV |
|
write estimated model to an output data set |
ESTIMATE |
OUTMODEL= |
|
write statistics of fit to an output data set |
ESTIMATE |
OUTSTAT= |
|
Options for Identifying the Series |
||
|
difference time series and plot autocorrelations |
IDENTIFY |
|
|
specify response series and differencing |
IDENTIFY |
VAR= |
|
specify and cross-correlate input series |
IDENTIFY |
CROSSCORR= |
|
center data by subtracting the mean |
IDENTIFY |
CENTER |
|
exclude missing values |
IDENTIFY |
NOMISS |
|
delete previous models and start |
IDENTIFY |
CLEAR |
|
specify the significance level for tests |
IDENTIFY |
ALPHA= |
|
perform tentative ARMA order identification by using the ESACF method |
IDENTIFY |
ESACF |
|
perform tentative ARMA order identification by using the MINIC method |
IDENTIFY |
MINIC |
|
perform tentative ARMA order identification by using the SCAN method |
IDENTIFY |
SCAN |
|
specify the range of autoregressive model orders for estimating the error series for the MINIC method |
IDENTIFY |
PERROR= |
|
determine the AR dimension of the SCAN, ESACF, and MINIC tables |
IDENTIFY |
P= |
|
determine the MA dimension of the SCAN, ESACF, and MINIC tables |
IDENTIFY |
Q= |
|
perform stationarity tests |
IDENTIFY |
STATIONARITY= |
|
selection of white noise test statistic in the presence of missing values |
IDENTIFY |
WHITENOISE= |
|
Options for Defining and Estimating the Model |
||
|
specify and estimate ARIMA models |
ESTIMATE |
|
|
specify autoregressive part of model |
ESTIMATE |
P= |
|
specify moving-average part of model |
ESTIMATE |
Q= |
|
specify input variables and transfer functions |
ESTIMATE |
INPUT= |
|
drop mean term from the model |
ESTIMATE |
NOINT |
|
specify the estimation method |
ESTIMATE |
METHOD= |
|
use alternative form for transfer functions |
ESTIMATE |
ALTPARM |
|
suppress degrees-of-freedom correction in variance estimates |
ESTIMATE |
NODF |
|
selection of white noise test statistic in the presence of missing values |
ESTIMATE |
WHITENOISE= |
|
Options for Outlier Detection |
||
|
specify the significance level for tests |
OUTLIER |
ALPHA= |
|
identify detected outliers with variable |
OUTLIER |
ID= |
|
limit the number of outliers |
OUTLIER |
MAXNUM= |
|
limit the number of outliers to a percentage of the series |
OUTLIER |
MAXPCT= |
|
specify the variance estimator used for testing |
OUTLIER |
SIGMA= |
|
specify the type of level shifts |
OUTLIER |
TYPE= |
|
Printing Control Options |
||
|
limit number of lags shown in correlation plots |
IDENTIFY |
NLAG= |
|
suppress printed output for identification |
IDENTIFY |
NOPRINT |
|
plot autocorrelation functions of the residuals |
ESTIMATE |
PLOT |
|
print log-likelihood around the estimates |
ESTIMATE |
GRID |
|
control spacing for GRID option |
ESTIMATE |
GRIDVAL= |
|
print details of the iterative estimation process |
ESTIMATE |
PRINTALL |
|
suppress printed output for estimation |
ESTIMATE |
NOPRINT |
|
suppress printing of the forecast values |
FORECAST |
NOPRINT |
|
print the one-step forecasts and residuals |
FORECAST |
PRINTALL |
|
Plotting Control Options |
||
|
request plots associated with model identification, residual analysis, and forecasting |
PROC ARIMA |
PLOTS= |
|
Options to Specify Parameter Values |
||
|
specify autoregressive starting values |
ESTIMATE |
AR= |
|
specify moving-average starting values |
ESTIMATE |
MA= |
|
specify a starting value for the mean parameter |
ESTIMATE |
MU= |
|
specify starting values for transfer functions |
ESTIMATE |
INITVAL= |
|
Options to Control the Iterative Estimation Process |
||
|
specify convergence criterion |
ESTIMATE |
CONVERGE= |
|
specify the maximum number of iterations |
ESTIMATE |
MAXITER= |
|
specify criterion for checking for singularity |
ESTIMATE |
SINGULAR= |
|
suppress the iterative estimation process |
ESTIMATE |
NOEST |
|
omit initial observations from objective |
ESTIMATE |
BACKLIM= |
|
specify perturbation for numerical derivatives |
ESTIMATE |
DELTA= |
|
omit stationarity and invertibility checks |
ESTIMATE |
NOSTABLE |
|
use preliminary estimates as starting values for ML and ULS |
ESTIMATE |
NOLS |
|
Options for Forecasting |
||
|
forecast the response series |
FORECAST |
|
|
specify how many periods to forecast |
FORECAST |
LEAD= |
|
specify the ID variable |
FORECAST |
ID= |
|
specify the periodicity of the series |
FORECAST |
INTERVAL= |
|
specify size of forecast confidence limits |
FORECAST |
ALPHA= |
|
start forecasting before end of the input data |
FORECAST |
BACK= |
|
specify the variance term used to compute forecast standard errors and confidence limits |
FORECAST |
SIGSQ= |
|
control the alignment of SAS date values |
FORECAST |
ALIGN= |
|
BY Groups |
||
|
specify BY group processing |
BY |
|