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
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