topic Re: proc ARIMA in SAS Forecasting and Econometrics

proc ARIMA

Golf — Thu, 02 Nov 2023 12:20:20 GMT

Hi everyone,

I'm looking for help with the correct code to run the following model using "proc ARIMA":

dy = a0 + a1*trend + a2*coint(-1) + b1*dy(-1) + b2*dy(-2) +....+b5*dy(-5) + c1*dx(-1) + c2*dx(-2) + .... +c5*dx(-5) +error

In this model, dy is the first difference of y, dy(-1) represents the 1 period lag of dy, and dy(-5) represents the 5 period lag of dy. I generated the dy and dx variables from dif(y) and dif(x), respectively.

Additionally, I'm wondering if the backward selection can be applied to the lag of dy(-1) through dy(-5), dx(-1) through dx(-5).

Thank you for your help.

Re: proc ARIMA

sbxkoenk — Fri, 03 Nov 2023 16:32:43 GMT

I moved this post to a more appropriate board:
SAS Support Communities > Analytics and Statistics > SAS Forecasting and Econometrics

What is coint(-1)?
An element from a cointegrating vector (cointegration)?

BR, Koen

Re: proc ARIMA

Golf — Sat, 04 Nov 2023 06:53:06 GMT

@sbxkoenk Yes It is.

Re: proc ARIMA

sbxkoenk — Sat, 04 Nov 2023 11:57:21 GMT

Hello,

I would first test for cointegration using PROC VARMAX.

VARMAX = Vector AutoRegression Moving-Average with EXogenous Regressors

SAS/ETS 15.3 User's Guide
The VARMAX Procedure
MODEL Statement
Cointegration Related Options
https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_varmax_syntax12.htm#etsug_varmax004693
SAS/ETS 15.3 User's Guide
The VARMAX Procedure
Cointegration
https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_varmax_details46.htm

Examples of usage:

model y1 y2 / p=2 cointtest=(johansen=(iorder=2 normalize=y1));
model y1 y2 / p=2 cointtest=(sw siglevel=0.1);
model y1 y2 / p=2 cointtest=(sw=(type=kernel lag=3));

BR, Koen

Re: proc ARIMA

Golf — Sat, 04 Nov 2023 13:20:12 GMT

@sbxkoenk Thank You.