Do a Rolling ARIMA in Sample

stealth4933 — Mon, 29 Apr 2019 14:07:15 GMT

I am a very new user of SAS and am not comfortable with almost any aspect of it. I usually use Rstudio(and thus think in terms of that coding language), but have found myself in a situation where I have to use SAS. What I want to do is pretty straightforward, but I do not even know how to go about looking up how to do it(although I have spent awhile trying).

I have a string of dates and 300 numbers. What I want to do is run an ARIMA(12,0,0) model(AR(12) model) in sas for every 60 observations, and then spit out the predicted variable in a new column lining up with the 61st row. In other words, say that column 2 was log differences in CPI, and column 1 was the date. I want the first 60 observations in the new column 3 to be blank, and then the 61st observation to be the ARIMA(12,0,0) projection using observations 49 to 60, where the coefficients of the model are estimated using observations 1 to 60.

The 62nd observation is analogous, it is the projection using observations 50 to 61, coefficients estimated using data 2 to 61. I have found the proc arima command online, but I cannot find a way to forecast in sample, only to forecast out of sample(uses the data in the entire dataset and then projects into the future). This is such a standard process(I think) that there must be some simple source I can look up online to tell me how to do this. I was wondering if anyone can provide a link?

Re: Do a Rolling ARIMA in Sample

PaigeMiller — Mon, 29 Apr 2019 15:17:13 GMT

I think this would require a macro to loop through all of the dates and run PROC ARIMA on each group of 60 observations and do the predictions.

As I have never seen an ARIMA(12,0,0) model, I wonder if somehow you can get PROC EXPAND to do the calculations without using a macro to do all the looping, but that would require some math to be performed to see if the model is even possible to compute in PROC EXPAND.

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Do a Rolling ARIMA in Sample

Re: Do a Rolling ARIMA in Sample