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Posted 04-03-2013 09:30 AM
(3119 views)

Hi,

For ARIMA modeling, I have got the (P,D,Q,) as (1,1,1). But I am getting confused to form the equation, I have the below coefficients:

Parameter | MU | MA1,1 | AR1,1 |
---|---|---|---|

MA1,1 | 0.002 | 1.000 | 0.962 |

AR1,1 | 0.000 | 0.962 | 1.000 |

MU | 1.000 | 0.002 | 0.000 |

I have the following 3 obs forecasted after differentiation:

Obs | Forecast | Std Error | 95% Confidence Limits | |

95 | -0.7976 | 6.6431 | -13.8179 | 12.2226 |
---|---|---|---|---|

96 | 0.6003 | 6.7904 | -12.7086 | 13.9092 |

97 | 0.0578 | 6.8123 | -13.2940 | 13.4097 |

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This link describes the general notation used when working with ARIMA models: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings....

Trying to setup the model outside of PROC ARIMA - for instance in Excel - is very tricky to do and not something I would recommend. It is not the same calculations as you would have when working for instance with simple linear regression. Forecasts are calculated as either infinite memory or finite memory forecasts which is based on the type of estimation method. More information can be found here: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_details3...

Thanks,

Snurre

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Hi,

I'm not entirely sure what you want to achieve but the first part of your output is not the actual parameter estimates. Instead, I think, you have shown the correlations of the parameter estimates. The actual parameter estimates can be located elsewhere in the output.

If you want to be able to write out the estimated equation you might find some input in this example: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings...

At the bottom is an example where an ARIMA(1,1,1) is estimated.

Thanks,

Snurre

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This link describes the general notation used when working with ARIMA models: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings....

Trying to setup the model outside of PROC ARIMA - for instance in Excel - is very tricky to do and not something I would recommend. It is not the same calculations as you would have when working for instance with simple linear regression. Forecasts are calculated as either infinite memory or finite memory forecasts which is based on the type of estimation method. More information can be found here: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_details3...

Thanks,

Snurre

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Thnx!!

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