selecting regressors iteratively in proc ARIMA

captainprice0 — Wed, 12 Apr 2017 05:54:21 GMT

Hi,

I have 5 regressors in the INPUT= and CROSSCORR= function of arima model, which is being iterated from 0 to 5 with the help of do-to loop.

when the loop starts from 0,0,0,0,0 for these 5 regressors, all the regressors are getting selected.

Is there a way where I can select only 3 or 4 combination of the regressors iteratively.

lets say if a,b,c,d,e are my 5 regressors, then at one step I would like to use combination of only 2 of these to run the model,

then move forward to combination of 3, and then 4.

it is like a stepwise selection procedure if I am not wrong?

Re: selecting regressors iteratively in proc ARIMA

user24feb — Wed, 12 Apr 2017 06:25:29 GMT

Please note, that there are standard options (ESCAF, MINIC, SCAN for proc arima and BACKSTEP for proc autoreg) to determine the model order automatically.

topic Re: selecting regressors iteratively in proc ARIMA in SAS Procedures

selecting regressors iteratively in proc ARIMA

Re: selecting regressors iteratively in proc ARIMA