proc ARIMA to identify optimal lag

Golf — Tue, 12 May 2020 03:13:06 GMT

Hello,

I have 2 questions about proc ARIMA. I hope somebody can help me out.

(1) I have tried to find optimal lag length of ARMA process by using procedure (a) and (b)

Why the minimum information criterion changing when we change p in proc ARIMA?

Procedure (a) : p = 1, 2, ..., 12 -> This lead to indicate 12 as optimal lag.

Procedure (b) : p = 1, 2, ..., 12 -> This lead to indicate 10 as optimal lag.

(2) How Can I add intercept and trend in this procedure?

Thank You.

Re: proc ARIMA to identify optimal lag

dw_sas — Mon, 31 Aug 2020 17:07:40 GMT

Hi @Golf ,

The difference in the results returned by the MINIC option in your two PROC ARIMA steps is due to a difference in the approximation used for the error series. In the first PROC ARIMA step, the error series model was an AR(12) model, whereas in the second PROC ARIMA step, the error series model was an AR(15) model. If you include the PERROR= option with the same specification in both IDENTIFY statements, then the Minimum Information Criterion values will the the same through AR lag 12. For example:

proc arima data = ARDL;
identify var = dnpl MINIC p=(1:12) q=0 perror=(10:12);
identify var = dnpl MINIC p=(1:15) q=0 perror=(10:12);
run;

Regarding your question on how to "add intercept and trend to this procedure", I assume you mean to the underlying procedure used by the MINIC option. The methodology used by the MINIC option automatically corrects for the mean, however, it assumes the series is stationary (ie. constant mean and variance). If your series is non-stationary, then you can include a differencing specification in the VAR= option to detrend the series. The MINIC option operates on the differenced series. If your series has a deterministic trend component, then you will need to detrend the series prior to running PROC ARIMA with the MINIC option.

For more information on the MINIC option, please see the following documentation link:

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_arima_details05.htm&docsetVersion=15.1&locale=en

I hope this helps!

Re: proc ARIMA to identify optimal lag

Golf — Tue, 01 Sep 2020 00:21:17 GMT

Thank You so much.

Re: proc ARIMA to identify optimal lag

dw_sas — Tue, 01 Sep 2020 16:31:38 GMT

You are most welcome, @Golf. Happy to help!

topic Re: proc ARIMA to identify optimal lag in SAS Forecasting and Econometrics

proc ARIMA to identify optimal lag

Re: proc ARIMA to identify optimal lag

Re: proc ARIMA to identify optimal lag

Re: proc ARIMA to identify optimal lag