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Quartz | Level 8

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? 

1 REPLY 1
udo_sas
SAS Employee

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

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