topic Re: PROC ARIMA in SAS Forecasting and Econometrics

PROC ARIMA

teg_76 — Thu, 04 Feb 2016 18:19:32 GMT

Hi Everyone,

I'm doing some ARIMA forecasting and am finding the need to take the first difference of my variable of interest so I can get a stationary series. My variable of interest is hospital admissions. I have two questions:

1) If I have a numeric covariate, that is also time related, such as membership over time, do I need to take the first difference of that covariate?

2) If the answer to #1 is yes, how do I accomplish that in a PROC ARIMA statement?

Thank you!

proc arima data=arima_input3 plots=all;

identify var=admit_count (1)

crosscorr=(memberships)

nlag=53;

estimate q=2 input=(memberships);

forecast lead=106 interval=week id=admit_date out=results;

run;

Re: PROC ARIMA

alexchien — Fri, 05 Feb 2016 15:11:27 GMT

It is usually a good practice to take the same diff of the crosscorr variables as the dependent var but it's up to the modeler to decide if diffing the crosscorr var is needed. You can accomplished it by adding the desirable diffs right after the crosscorr var (see below)