Hello, I am building several time series model for several target variables. I am using arimax models and using Proc Arima procedure. The code i used for 3 example targets is the following: Target1 ods graphics on;
proc arima data=amostra_des_2 plots=all;
identify var=N_&var_nvl.(1) minic esacf scan crosscorr=(
_1dif_GDP_perc_yoy
_1dif_indice_prd_const_Var_Lag1Y
);
estimate p=(0) q=(4) input=(
_1dif_GDP_perc_yoy
_1dif_indice_prd_const_Var_Lag1Y
)
printall Outest=modelos.Parametros_1NS2 outstat=modelos.Estatisticas_1NS2;
forecast ID=date LEAD=8 INTERVAL=QTR ALPHA=0.05 align=ending OUT=modelos.previsoes_1NS2;
run; Target2 ods graphics on;
proc arima data=amostra_des_2 plots=all;
identify var=N_&var_nvl.(1,1) minic esacf scan crosscorr=(
_2dif_resid_prices_EUR_Var_Lag1Y
_2dif_TX_JR_consm_EUR_Var_Lag1Y
_2dif_GDP_perc_yoy
);
estimate p=(4) q=(0) input=(
_2dif_resid_prices_EUR_Var_Lag1Y
_2dif_TX_JR_consm_EUR_Var_Lag1Y
_2dif_GDP_perc_yoy
)
printall Outest=modelos.Parametros_9NS3 outstat=modelos.Estatisticas_9NS3;
forecast ID=date LEAD=8 INTERVAL=QTR ALPHA=0.05 align=ending OUT=modelos.previsoes_9NS3;
run; Target3 ods graphics on;
proc arima data=amostra_des_2 plots=all;
identify var=N_&var_nvl.(1,1) minic esacf scan crosscorr=(
_2dif_GDP_perc_yoy
);
estimate p=(1) q=(4) input=(
_2dif_GDP_perc_yoy
)
printall Outest=modelos.Parametros_11NS outstat=modelos.Estatisticas_11NS;
forecast ID=date LEAD=8 INTERVAL=QTR ALPHA=0.05 align=ending OUT=modelos.previsoes_11NS;
run;
For the first target, the best fit turned out to be an ARIMAX(d=1, p=0, q= 4), for the second target it was an ARIMAX(d=2,p=4,q=0) and for the third target it was an ARIMAX(d=2,p=1,q=4). For the first two models, in which there is only one componente (AR (p) term or MA (q) term) I was able to replicate the forecasts produced by "Proc arima" in excel, in order to better understand the final equation, but in the third case, in which there are two terms (both p (AR) and q (MA) are above 0) I wasn’t able to replicate the results in excel. In attach you can find 3 excel files, one for each target, so you can better understand the calculations i've done in order to replicate the forecasts generated by the code. Can you help me understand what I am doing wrong in my attempt of replication for target 3? Thank you.
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