topic Clarification on SAS ARIMA Manual (p. 209) in Statistical Procedures

Clarification on SAS ARIMA Manual (p. 209)

sasalex2024 — Sat, 30 Nov 2024 18:55:44 GMT

Dear SAS Community,

I am referring to the SAS ARIMA manual, page 209 ("Stationarity and Input Series"). I find the following statement confusing, and I apologize if I lack the knowledge to fully understand it:

"If the inputs are nonstationary, the response series will be nonstationary, even though the noise process might be stationary."

The reason I find this confusing is that if we have a raw data series for Yt and Yt is stationary to begin with, then simply by regressing Yt on some nonstationary Xt, it should not make original Yt nonstationary because Yt is a known and given series (assumed to be stationary). Does SAS refer to the fitted values of Yt? Or is there something else I am missing?

Thank you for your help.

Re: Clarification on SAS ARIMA Manual (p. 209)

Ksharp — Sun, 01 Dec 2024 01:20:05 GMT

""If the inputs are nonstationary, the response series"
I think Here "inputs" is Yt and "response series" is fitted/predicted values of Yt.
And better post it at Forecasting Forum, since it is about SAS/ETS .
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

Re: Clarification on SAS ARIMA Manual (p. 209)

sasalex2024 — Sun, 01 Dec 2024 12:48:13 GMT

Thank you!

Re: Clarification on SAS ARIMA Manual (p. 209)

sbxkoenk — Thu, 05 Dec 2024 13:35:35 GMT

See "Forecasting & Econometrics" - board :

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Clarification-on-PROC-ARIMA-manual-p-209/td-p/952234

Koen