https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-ARIMA-in-mathematical-form/m-p/299169#M1929 Hi everyone, I am trying to take the parameters from an ARIMAX model calculated using PROC Arima, and build a forecasting model in excel. I am using variable Y_d (already differenced) as my response variable. And I am using x_d (already differenced) as an explanatory variable. I am using the following code: proc arima data=test; identify var=x_d; estimate p=1 noint; run; identify var=y_d crosscorr=(x_d) ; estimate input= (1 $ x_d) p=1 q=1; forecast lead=1 out=n; run; quit; According to this <A href="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_arima_sect012.htm" target="_blank">http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_arima_sect012.htm</A> (regression with ARMA error), this should measure the following mathematical formula: y_d(t)= constant + B1 x_d(t) + ((1-theta(1)B)/(1-fie(1)B)) *Error(t) As I want to import the parameter in the excel and build a forecasting model in the excel, is it the following model in regression form? y_d(t)=(constant *(1-fie(1)B) +(1-fie(1)B) * B1 x_d(t) +(1-theta(1)B)* Error(t))/(1-fie(1)B) or the final form... y_d(t)=constant_estimate(from SAS)+ fie(1) y_d(t-1)+ B1 x_d(t) - B1*fie(1)*x_d(t-1) + Error (t)-theta(1)* Error(t-1) ? However using the above final form does not produce the correct forecast in Excel using the parameters from PROC ARIMA. If anyone can help me, it would be grealy appreciated. Thanks. Sun, 18 Sep 2016 19:01:28 GMT Stat_user345 2016-09-18T19:01:28Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-ARIMA-in-mathematical-form/m-p/299169#M1929 Hi everyone, I am trying to take the parameters from an ARIMAX model calculated using PROC Arima, and build a forecasting model in excel. I am using variable Y_d (already differenced) as my response variable. And I am using x_d (already differenced) as an explanatory variable. I am using the following code: proc arima data=test; identify var=x_d; estimate p=1 noint; run; identify var=y_d crosscorr=(x_d) ; estimate input= (1 $ x_d) p=1 q=1; forecast lead=1 out=n; run; quit; According to this <A href="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_arima_sect012.htm" target="_blank">http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_arima_sect012.htm</A> (regression with ARMA error), this should measure the following mathematical formula: y_d(t)= constant + B1 x_d(t) + ((1-theta(1)B)/(1-fie(1)B)) *Error(t) As I want to import the parameter in the excel and build a forecasting model in the excel, is it the following model in regression form? y_d(t)=(constant *(1-fie(1)B) +(1-fie(1)B) * B1 x_d(t) +(1-theta(1)B)* Error(t))/(1-fie(1)B) or the final form... y_d(t)=constant_estimate(from SAS)+ fie(1) y_d(t-1)+ B1 x_d(t) - B1*fie(1)*x_d(t-1) + Error (t)-theta(1)* Error(t-1) ? However using the above final form does not produce the correct forecast in Excel using the parameters from PROC ARIMA. If anyone can help me, it would be grealy appreciated. Thanks. Sun, 18 Sep 2016 19:01:28 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-ARIMA-in-mathematical-form/m-p/299169#M1929 Stat_user345 2016-09-18T19:01:28Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-ARIMA-in-mathematical-form/m-p/299402#M1933 <P>Hi</P><P>This might help <A href="https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/What-is-the-mathematical-form-of-an-ARIMA-forecast/m-p/28736/highlight/true" target="_blank">https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/What-is-the-mathematical-form-of-an-ARIMA-forecast/m-p/28736/highlight/true</A></P> Mon, 19 Sep 2016 20:40:21 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/PROC-ARIMA-in-mathematical-form/m-p/299402#M1933 Synchro 2016-09-19T20:40:21Z