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Sunday, December 9, 2018 12:51:24 AM 1

The ARIMA Procedure

Conditional Least Squares Estimation

Standard Approx
Parameter Estimate Error t Value Pr > |t| Lag

MU -0.49952 0.23675 -2.11 0.0361 0

AR1,1 1.03997 0.06735 15.44 <.0001 1

AR1,2 -0.33189 0.06824 -4.86 <.0001 2

Constant Estimate -0.14582

Variance Estimate 1.001505

Std Error Estimate 1.000752

AIC 570.8535

SBC 580.7484

Number of Residuals 200

* AIC and SBC do not include log determinant.

Correlations of Parameter Estimates

Parameter MU AR1,1 AR1,2

MU 1.000 -0.021 0.017

AR1,1 -0.021 1.000 -0.778

AR1,2 0.017 -0.778 1.000

Autocorrelation Check of Residuals

To
Lag Chi-Square DF Pr > ChiSq Autocorrelations

6 4.07 4 0.3965 -0.007 -0.004 0.023 -0.004 0.023 -0.136

12 7.24 10 0.7024 -0.006 0.044 0.005 -0.025 0.075 -0.081

18 8.90 16 0.9176 0.008 0.071 0.044 0.011 -0.007 0.019

24 19.94 22 0.5869 0.052 -0.138 0.034 -0.121 -0.065 0.085

30 27.96 28 0.4666 -0.123 0.091 0.007 -0.056 -0.086 0.020

36 30.72 34 0.6290 0.004 0.002 0.023 0.004 0.080 -0.066


Sunday, December 9, 2018 12:51:24 AM 2

The ARIMA Procedure

Residual Correlation Diagnostics for w2


1.0 1.0

0.5 0.5

PACF
ACF

0.0 0.0

-0.5 -0.5

-1.0 -1.0
0 5 10 15 20 25 0 5 10 15 20 25
Lag Lag

1.0

0.5 .001

White Noise Prob


IACF

0.0

.05
-0.5

-1.0 1.0
0 5 10 15 20 25 0 5 10 15 20 25
Lag Lag

Residual Normality Diagnostics for w2


Distribution of Residuals QQ-Plot
Normal 3
25 Kernel
2
20
1

15
Residual
Percent

10
-1

5 -2

0 -3

-3.3 -2.1 -0.9 0.3 1.5 2.7 -3 -2 -1 0 1 2 3


Residual Quantile

Model for variable w2

Estimated Mean -0.49952


Sunday, December 9, 2018 12:51:24 AM 3

The ARIMA Procedure

Autoregressive Factors

Factor 1: 1 - 1.03997 B**(1) + 0.33189 B**(2)

Forecasts for variable w2

95%
Confidence
Obs Forecast Std Error Limits

201 0.9755 1.0008 -0.9860 2.9369

202 0.1600 1.4438 -2.6699 2.9899

203 -0.3032 1.6271 -3.4923 2.8859

204 -0.5142 1.6842 -3.8152 2.7868

205 -0.5800 1.6964 -3.9049 2.7449

206 -0.5783 1.6977 -3.9058 2.7492

207 -0.5548 1.6977 -3.8823 2.7728

208 -0.5308 1.6979 -3.8586 2.7969

209 -0.5137 1.6980 -3.8417 2.8143

210 -0.5039 1.6981 -3.8321 2.8242

Forecasts for w2

0
Forecast

-2

-4
202 204 206 208 210
_t
Predicted 95% Confidence Limits
Sunday, December 9, 2018 12:51:24 AM 4

AR(2) forecast of DATA 6


4

0
W_2

-2

-4

0 50 100 150 200


t
w2 Forecast for w2