BookmarkSubscribeRSS Feed
uribem
Calcite | Level 5

I am using the ARIMA procedure for a cross correlation analysis with prewhitening. Is it possible to obtain or output the filter function applied to the x and y variables? 

Is there a a document where we can see how to derive the filter function specially since there is seasonlity in the model?

1 REPLY 1
Puwang
Obsidian | Level 7

When you specify the IDENTIFY statement cross correlation with prewhitening, proc arima will print out the following information:

 

a plot of the sample cross-correlation function for each series specified in the CROSSCORR= option. If a model was previously estimated for a variable in the CROSSCORR= list, the cross-correlations for that series are computed for the prewhitened input and response series. For each input variable with a prewhitening filter, the cross-correlation report for the input series includes the following:

  • a table of test statistics for the hypothesis of no cross-correlation between the input and response series

  • the prewhitening filter used for the prewhitening transformation of the predictor and response variables

More details can be found in http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect051.....

 

Hope this helps.

 

sas-innovate-2024.png

Don't miss out on SAS Innovate - Register now for the FREE Livestream!

Can't make it to Vegas? No problem! Watch our general sessions LIVE or on-demand starting April 17th. Hear from SAS execs, best-selling author Adam Grant, Hot Ones host Sean Evans, top tech journalist Kara Swisher, AI expert Cassie Kozyrkov, and the mind-blowing dance crew iLuminate! Plus, get access to over 20 breakout sessions.

 

Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 1 reply
  • 1053 views
  • 0 likes
  • 2 in conversation