Standard Error Estimation in PROC ARIMA

sasalex2024 — Sun, 15 Dec 2024 19:42:00 GMT

Dear SAS Community,

For proc arima estimation, I couldn’t find detailed information about how standard errors (and thus t-values) are computed. The manual states:

The t-values reported in the table of parameter estimates are approximations whose accuracy depends on the validity of the model, the nature of the model, and the length of the observed series...

Could you please clarify what method SAS uses to estimate standard errors for ARMA model parameters? For example, does it rely on the Outer Product of Gradients (OPG), the Observed Information Matrix (OIM), Huber/White/sandwich estimator, or something similar?

Additionally, is there any way in proc arima to specify alternative methods for standard error estimation, or are the defaults considered standard for ARMA models?

Thank you very much.

Re: Standard Error Estimation in PROC ARIMA

Ksharp — Mon, 16 Dec 2024 01:37:04 GMT

It would be better if you post this question at Forecasting Forum,since it is related to SAS/ETS .
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

topic Standard Error Estimation in PROC ARIMA in Statistical Procedures

Standard Error Estimation in PROC ARIMA

Re: Standard Error Estimation in PROC ARIMA