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Forecaster
Obsidian | Level 7

I'm trying to fit an arima model with intervention modeling using PROC ARIMA. See below for the transfer function form. I can specify the denominator, but I'm struggling to sepcify the numerator. Can you please let me know how I can specify the numerator for this intervention variable. (1-Bd) ?

 

Thank you

estimate input=( /(1) It );
   run;

Capture_arima.JPG

1 ACCEPTED SOLUTION

Accepted Solutions
rselukar
SAS Employee

The differencing of "It" must be done in the identify statement:

identify var=y crosscorr=It(5);

estimate input=( /(1) It );
   run;

 

ARIMA will estimate theta0, omega0, and delta1 for you.

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2 REPLIES 2
rselukar
SAS Employee

The differencing of "It" must be done in the identify statement:

identify var=y crosscorr=It(5);

estimate input=( /(1) It );
   run;

 

ARIMA will estimate theta0, omega0, and delta1 for you.

Forecaster
Obsidian | Level 7
Thank you rselukar, very helpful.

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