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Wang_yan123 · ‎08-04-2017

Thanks again for your answer. May I ask another question about the multivariate trasnfer function model? How do I choose the most parsimonious model when there are many input variables? The value of AIC or SBC change unstably when I introduce or remove some varibales? Is there any way to model the best transfer function model automatically? Thanks very much for your reply! Looking forward to hearing from you!

Wang_yan123 · ‎07-27-2017

Thanks very much for your excellent and clear reply! I have figured out this problem! Could I raise a new question that how to calculate the R-square of a ARIMA model that we established in SAS? SAS is not the same as SPSS that can give the R-square directly. Thanks again!

Wang_yan123 · ‎07-19-2017

As mentioned in SAS examples7.3 Model for Series J Data from Box and Jenkins, there is a simple transfer function fitted with numerator(1,2), denominator (1) and lag (3). Could anyone kindly tell me how to choose these parameters to fit transfer function model according to the Cross-correlation estimation which showed x and y had several lags (3,4,5,6,7)?

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Re: ARIMA-transfer function

Re: ARIMA-transfer function

ARIMA-transfer function

Re: ARIMA-transfer function

Re: ARIMA-transfer function

ARIMA-transfer function