topic Re: automatic arima modeling with proc arima in SAS Forecasting and Econometrics

Re: automatic arima modeling with proc arima

stat_sas — Mon, 21 Jul 2014 15:58:49 GMT

Hi,

I think minic can produce the desired info in identify statement of proc arima.

Thanks,

Re: automatic arima modeling with proc arima

Forecaster — Mon, 21 Jul 2014 21:51:26 GMT

Hi,

in the documentation minic identifies only p and d, it does not identify P and Q, can you please illustrate how to identify P and Q

Re: automatic arima modeling with proc arima

user24feb — Tue, 22 Jul 2014 08:17:50 GMT

Just some ideas, if you have for example monthly data:

- proc arima and a "Var=<Variable> MiniC P=(0:12) Q=(0:12);"-statement, but you probably never would have a MA(5,7,11) or so and you would have to repeat this for the cases of differencing, seasonal differencing, taking logs, etc.

- de-seasonalize the data using proc expand or proc x11 and use minic of a low order afterwards

- pre-define simple (to avoid over-fitting), but "propable" models (AR(1), AR(1,2), AR(1)(12), etc.) and find the model with the lowest SBC "manually" (or with clever code)

Re: automatic arima modeling with proc arima

stat_sas — Tue, 22 Jul 2014 14:25:34 GMT

Hi,

I also consulted documentation and found nothing about P and Q. Sorry about that.

Re: automatic arima modeling with proc arima

Forecaster — Fri, 25 Jul 2014 14:02:48 GMT

Thank You. This is very helpful.