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ARIMA

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New Contributor
Posts: 2

ARIMA

Hello, sorry if this happens to be the wrong forum section for this question.
Anyhow, I remember that my teacher 2 years ago said that the ARIMA output in SAS shows the estimates of the MA components multiplied by (-1), is this (still) true?


Thanks in advance.

SAS Employee
Posts: 10

Re: ARIMA

The short answer is YES.

For example, the following parameter estimates:

Parameter Estimate Standard Error t Value Approx
Pr > |t|
Lag
MA1,1 0.40194 0.07988 5.03 <.0001 1
MA2,1 0.55686 0.08403 6.63 <.0001 12

 

correspond to the following MA formulas:

Moving Average Factors
Factor 1: 1 - 0.40194 B**(1)
Factor 2: 1 - 0.55686 B**(12)

 

Hope this helps. Thanks.

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