do you forecast the forecast in ARIMA

[podarum]

If my first step in ARIMA is to difference the data.. without any P or Q, and it produces a forecast.. Do I then have a Step 2 wiht only P and Q and the var is the FORECAST from Step 1?? or do I do it all in one step.  Therefore the differencing in Step 1 was just to decide which D level to use.. and that's it? 

[udo_sas]

Hello -

The analysis performed by PROC ARIMA for example is divided into three stages:

• identification
• estimation and diagnostic checking
• forecasting

corresponding to the stages described by Box and Jenkins - you will find some details here: http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect003....

Thanks,

Udo