09-27-2017 05:10 PM
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?
10-13-2017 11:57 AM
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.