topic Re: How does PROC ARIMA know what time/date variable? in SAS Forecasting and Econometrics

How does PROC ARIMA know what time/date variable?

somebody — Tue, 04 Aug 2020 02:47:05 GMT

I am trying to get a cross-correlogram between stock returns and trading volumes and run across PROC ARIMA. I wonder how does PROC ARIMA know which variable is the time variable? In PROC TIMESERIES or PROC EXPAND, we have to specify a time variable with an ID statement, and if there are many groups (in my case, stocks), we have to specify a BY statement.

Does PROC ARIMA assume there are only 1 group and the data is already sorted by time sequence?

Re: How does PROC ARIMA know what time/date variable?

Ksharp — Tue, 04 Aug 2020 11:43:47 GMT

Please post it at Forecasting Forum.

Re: How does PROC ARIMA know what time/date variable?

Kurt_Bremser — Tue, 04 Aug 2020 11:54:03 GMT

I moved this to the Forecasting community.

Re: How does PROC ARIMA know what time/date variable?

dw_sas — Wed, 05 Aug 2020 21:19:41 GMT

Hi @somebody

PROC ARIMA assumes the data are equally-spaced and sorted sequentially over time, therefore, a time ID variable is not required to compute the cross-correlations. If you have gaps in the data, then these gaps should be filled in with missing values (or some other value of your choosing) prior to running the procedure in order to preserve the correct spacing between observations.

PROC ARIMA supports a BY statement so you can perform a separate analysis for each BY group. Within each BY group, PROC ARIMA assumes the data is equally-spaced and sorted sequentially over time.

I hope this helps!