simulating ARIMA transfer Model

Dids — Wed, 09 May 2018 18:32:34 GMT

I am trying to simulate a transfer model in SAS. I am able to simulate the independent x variable using code provided by sas documentation for a , which is an ARIMA(0,1,1)

title1 'Simulated IMA(1,1) Series';
data a;
  x1 = 0.9; a1 = 0;
  do i = -50 to 100;
     a = rannor( 32565 );
     x = x1 + a - .8 * a1;
     if i > 0 then output;
     a1 = a;
     x1 = x;
  end;
run;

but when it comes to simulating the dependent variable y; I start having problems, I have specific values I want for an intercept, numerator, scale and denominator, and including the simulated x variable.i.e

Would anyone have any ideas?

Thank You

Re: simulating ARIMA transfer Model

ChrisHemedinger — Wed, 09 May 2018 18:16:23 GMT

You used the word ARIMA so I put this in our econometrics board, but maybe this is a more general simulation question.

If so, @Rick_SAS has a large collection of blog posts about simulations, including guidance for targeting specific parameter values. See Simulate lognormal data with specified mean and variance -- or view the whole series of Simulation articles here.

topic Re: simulating ARIMA transfer Model in SAS Forecasting and Econometrics

simulating ARIMA transfer Model

Re: simulating ARIMA transfer Model