Chapter Contents
Chapter Contents		 Previous
Previous		 Next
Next
The ARIMA Procedure

The Three Stages of ARIMA Modeling

The analysis performed by PROC ARIMA is divided into three stages, corresponding to the stages described by Box and Jenkins (1976). The IDENTIFY, ESTIMATE, and FORECAST statements perform these three stages, which are summarized below.

  1. In the identification stage, you use the IDENTIFY statement to specify the response series and identify candidate ARIMA models for it. The IDENTIFY statement reads time series that are to be used in later statements, possibly differencing them, and computes autocorrelations, inverse autocorrelations, partial autocorrelations, and cross correlations. Stationarity tests can be performed to determine if differencing is necessary. The analysis of the IDENTIFY statement output usually suggests one or more ARIMA models that could be fit. Options allow you to test for stationarity and tentative ARMA order identification.
  2. In the estimation and diagnostic checking stage, you use the ESTIMATE statement to specify the ARIMA model to fit to the variable specified in the previous IDENTIFY statement, and to estimate the parameters of that model. The ESTIMATE statement also produces diagnostic statistics to help you judge the adequacy of the model.

    Significance tests for parameter estimates indicate whether some terms in the model may be unnecessary. Goodness-of-fit statistics aid in comparing this model to others. Tests for white noise residuals indicate whether the residual series contains additional information that might be utilized by a more complex model. If the diagnostic tests indicate problems with the model, you try another model, then repeat the estimation and diagnostic checking stage.

  3. In the forecasting stage you use the FORECAST statement to forecast future values of the time series and to generate confidence intervals for these forecasts from the ARIMA model produced by the preceding ESTIMATE statement.

These three steps are explained further and illustrated through an extended example in the following sections.

Chapter Contents
Chapter Contents		 Previous
Previous		 Next
Next		 Top
Top

Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.