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selecting regressors iteratively in proc ARIMA

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Occasional Contributor
Posts: 8

selecting regressors iteratively in proc ARIMA

[ Edited ]

Hi,

 

I have 5 regressors in the INPUT= and CROSSCORR= function of arima model, which is being iterated from 0 to 5 with the help of do-to loop.

 

when the loop starts from 0,0,0,0,0 for these 5 regressors, all the regressors are getting selected.

 

Is there a way where I can select only 3 or 4 combination of the regressors iteratively.

 

lets say if a,b,c,d,e are my 5 regressors, then at one step I would like to use combination of only 2 of these to run the model,

then move forward to combination of 3, and then 4. 

 

it is like a stepwise selection procedure if I am not wrong?

Super Contributor
Posts: 340

Re: selecting regressors iteratively in proc ARIMA

Posted in reply to captainprice0

Please note, that there are standard options (ESCAF, MINIC, SCAN for proc arima and BACKSTEP for proc autoreg) to determine the model order automatically.

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