Hello, I am using the NOEST option in the ESTIMATE statement of the ARIMA procedure and it has lead me to an unexpected result. I have fit a model to predict net charge off (Y) data with Unemployment rate (X) as the input, no ARMA terms and no intercept just to isolate the issue, and extracted the parameter estimates, say Num1 (Shift=0) = 0.5 and Num1,1 (Shift=0) = -0.6. The strange thing is that the trend of Y dictates the forecasts, when i expected that the right hand side of the forecast equation is soley a function of X. For example I have two data sets: data test_y_increase; input Annl_NCO_rate Unemployment_Rate_FB monthend_date; cards; 1 14 1 1 13.1 2 2 12 3 2 11.5 4 4 10 5 4 9.9 6 4 8 7 5 7 8 6 6.2 9 . 5 10 . 4 11 . 3.3 12 . 2 13 . 1 14 ; run; data test_y_decrease; input Annl_NCO_rate Unemployment_Rate_FB monthend_date; cards; 6 14 1 6 13.1 2 5 12 3 4 11.5 4 3 10 5 2 9.9 6 2 8 7 1 7 8 1 6.2 9 . 5 10 . 4 11 . 3.3 12 . 2 13 . 1 14 ; run; In both datasets, the values of X are the same (decreasing). Given my parameters for Concurrent and lag 1 of X, when I apply the published model to the series Y, it seems that the trend of Y has influence of the forecasts. This is unexpected to me because the model I have applied is only a function of X. Here is my ARIMA code: %let NumFactor1 = .5; %let NumFactor2 = -.6; proc arima data=test_y_increase; title "Increasing Y"; identify var=Annl_NCO_rate(1) crosscorr=( Unemployment_Rate_FB(1) ) CLEAR CENTER; estimate input =( (1)Unemployment_Rate_FB ) initval =( &NumFactor1.$(&NumFactor2.)Unemployment_Rate_FB ) noest NOINT; forecast id=monthend_date BACK=0 lead=5 out=out_test_increase; run; quit; proc arima data=test_y_decrease; title "Decreasing Y"; identify var=Annl_NCO_rate(1) crosscorr=( Unemployment_Rate_FB(1) ) CLEAR CENTER; estimate input =( (1)Unemployment_Rate_FB ) initval =( &NumFactor1.$(&NumFactor2.)Unemployment_Rate_FB ) noest NOINT; forecast id=monthend_date BACK=0 lead=5 out=out_test_decrease; run; quit; title; Do you know why these forecasts are not only a function of X, or what the forecast equation is ? Thanks, Ryan
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