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specifying transfer function in proc arima

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specifying transfer function in proc arima

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


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‎07-08-2016 11:05 AM
SAS Employee
Posts: 49

Re: specifying transfer function in proc arima

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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‎07-08-2016 11:05 AM
SAS Employee
Posts: 49

Re: specifying transfer function in proc arima

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.

Contributor
Posts: 40

Re: specifying transfer function in proc arima

Thank you rselukar, very helpful.
☑ This topic is SOLVED.

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