Hi everyone,
I'm looking for help with the correct code to run the following model using "proc ARIMA":
dy = a0 + a1*trend + a2*coint(-1) + b1*dy(-1) + b2*dy(-2) +....+b5*dy(-5) + c1*dx(-1) + c2*dx(-2) + .... +c5*dx(-5) +error
In this model, dy is the first difference of y, dy(-1) represents the 1 period lag of dy, and dy(-5) represents the 5 period lag of dy. I generated the dy and dx variables from dif(y) and dif(x), respectively.
Additionally, I'm wondering if the backward selection can be applied to the lag of dy(-1) through dy(-5), dx(-1) through dx(-5).
Thank you for your help.
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