I estimated the following model in PROC AUTOREG using maximum likelihood (method=ml), specifying nlag=12 and the backstep option to automtically select the autoregressive order. where y_(t-1) is a lagged dependent variable and z_t is an array of explanatory variables. Because this model was estimated with nlag and backstep, SAS automatically selects the autoregressive error model for the noise series. Finally, the estimated model is: This model was estimated approx 1 yr ago, and I want to forecast this model in PROC ARIMA without re-estimating the model, thus using the NOEST option. I'm wondering how to forecast this model, including the AR(3) parameter for v_t, estimated by PROC AUTOREG using PROC ARIMA without re-estimating the model?
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