Hi Koen, Thank you very much for your response. Appreciate it. This method of estimating the partial autocorrelation is correct and based on regressing the variable on its own lagged values and it is proved theoretically that the coefficient of the kth lagged value is equal to the partial autocorrelation for lag k. Please see the book Forecasting Methods and Applications by Makridakis, Wheelwright, and Hyndman, 1998, page 321. This is not just a proc reg, it is regressing the variable on its lagged values, and for each partial autocorrelation, you need a different regression. Once again thank you for your attention. Best, Mostafa
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