topic Re: specifying transfer function in proc arima in SAS Forecasting and Econometrics

specifying transfer function in proc arima

Forecaster — Thu, 07 Jul 2016 18:43:39 GMT

I'm trying to fit an arima model with intervention modeling using PROC ARIMA. See below for the transfer function form. I can specify the denominator, but I'm struggling to sepcify the numerator. Can you please let me know how I can specify the numerator for this intervention variable. (1-Bd) ?

Thank you

estimate input=( /(1) It );
   run;

Re: specifying transfer function in proc arima

rselukar — Thu, 07 Jul 2016 21:09:47 GMT

The differencing of "It" must be done in the identify statement:

identify var=y crosscorr=It(5);

estimate input=( /(1) It );
run;

ARIMA will estimate theta0, omega0, and delta1 for you.

Re: specifying transfer function in proc arima

Forecaster — Fri, 08 Jul 2016 15:07:44 GMT

Thank you rselukar, very helpful.