PROC ARIMA: How to forecast with user supplied parameter estimates

[Farzana]

Hello,

Instead of generating forecast values for a time series by using the parameter estimates produced by the previous ESTIMATE statement as in the forecast statement in PROC ARIMA, I want to generate forecast values for a time series by user supplied parameter estimates.

Basically I want to perturb the parameter estimates produced by the previous ESTIMATE statement by adding a random noise to it and then use them to generate forecast values.

Is there any way I could accomplish this?

Thanks

P.S: Please tell me if any part of the question is unclear.

[rselukar · Accepted solution]

You can use the ESTIMATE statement options such as  AR=, MA=, ... and NOEST to fix the parameter values to your desired settings.  See the "Options to Specify Parameter Values" section of the ESTIMATE statement documentation.