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Prewhitening filter function for cross correlation analysis

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New Contributor
Posts: 4

Prewhitening filter function for cross correlation analysis

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?

SAS Employee
Posts: 20

Re: Prewhitening filter function for cross correlation analysis

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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