04-12-2017 01:53 AM - edited 04-12-2017 01:54 AM
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?
04-12-2017 02:25 AM
Please note, that there are standard options (ESCAF, MINIC, SCAN for proc arima and BACKSTEP for proc autoreg) to determine the model order automatically.