How to get p-value for predictors in ARIMA model?

jeanwang — Sat, 21 Sep 2013 06:51:55 GMT

Hi,

I use PROC ARIMA to do time series analysis with intervention. I am interested in p-values for the predictors specified in crosscorr() and input() options for the procedure. I extracted estimate and standard error of predictors, then calculated the t-value. But I can't extract p-value directly. Does anybody know how to extract the p-value directly, or the degree of freedom (or central parameter, if any) for the t distribution? Any suggestion is welcome.

Thanks in advance.

Jean

Re: How to get p-value for predictors in ARIMA model?

udo_sas — Wed, 25 Sep 2013 20:38:28 GMT

Hello Jean -

Not sure if this is what you are wondering about, but it might be as easy as adding an ODS output statement to your code.

Thanks,

Udo

Example:

data air;

input ozone @@;

label ozone = 'Ozone Concentration'

x1 = 'Intervention for post 1960 period'

summer = 'Summer Months Intervention'

winter = 'Winter Months Intervention';

date = intnx( 'month', '31dec1954'd, _n_ );

format date monyy.;

month = month( date );

year = year( date );

x1 = year >= 1960;

summer = ( 5 < month < 11 ) * ( year > 1965 );

winter = ( year > 1965 ) - summer;

datalines;

2.7 2.0 3.6 5.0 6.5 6.1 5.9 5.0 6.4 7.4 8.2 3.9

4.1 4.5 5.5 3.8 4.8 5.6 6.3 5.9 8.7 5.3 5.7 5.7

3.0 3.4 4.9 4.5 4.0 5.7 6.3 7.1 8.0 5.2 5.0 4.7

3.7 3.1 2.5 4.0 4.1 4.6 4.4 4.2 5.1 4.6 4.4 4.0

2.9 2.4 4.7 5.1 4.0 7.5 7.7 6.3 5.3 5.7 4.8 2.7

1.7 2.0 3.4 4.0 4.3 5.0 5.5 5.0 5.4 3.8 2.4 2.0

2.2 2.5 2.6 3.3 2.9 4.3 4.2 4.2 3.9 3.9 2.5 2.2

2.4 1.9 2.1 4.5 3.3 3.4 4.1 5.7 4.8 5.0 2.8 2.9

1.7 3.2 2.7 3.0 3.4 3.8 5.0 4.8 4.9 3.5 2.5 2.4

1.6 2.3 2.5 3.1 3.5 4.5 5.7 5.0 4.6 4.8 2.1 1.4

2.1 2.9 2.7 4.2 3.9 4.1 4.6 5.8 4.4 6.1 3.5 1.9

1.8 1.9 3.7 4.4 3.8 5.6 5.7 5.1 5.6 4.8 2.5 1.5

1.8 2.5 2.6 1.8 3.7 3.7 4.9 5.1 3.7 5.4 3.0 1.8

2.1 2.6 2.8 3.2 3.5 3.5 4.9 4.2 4.7 3.7 3.2 1.8

2.0 1.7 2.8 3.2 4.4 3.4 3.9 5.5 3.8 3.2 2.3 2.2

1.3 2.3 2.7 3.3 3.7 3.0 3.8 4.7 4.6 2.9 1.7 1.3

1.8 2.0 2.2 3.0 2.4 3.5 3.5 3.3 2.7 2.5 1.6 1.2

1.5 2.0 3.1 3.0 3.5 3.4 4.0 3.8 3.1 2.1 1.6 1.3

. . . . . . . . . . . .

;

ods OUTPUT ParameterEstimates=work.estimates;

proc arima data=air;

/* Identify and seasonally difference ozone series */

identify var=ozone(12)

crosscorr=( x1(12) summer winter );

/* Fit a multiple regression with a seasonal MA model */

/* by the maximum likelihood method */

estimate q=(1)(12) input=( x1 summer winter )

noconstant method=ml;

/* Forecast */

forecast lead=12 id=date interval=month;

run;quit;

proc print data=work.estimates;run;

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How to get p-value for predictors in ARIMA model?

Re: How to get p-value for predictors in ARIMA model?