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?
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.
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