Modeling and Multivariate Methods - SAS

360 Performing Time Series Analysis Chapter 14
Modeling Reports
The red triangle menu on the Difference plot has the following options:
Graph controls the plot of the differenced series and behaves the same as those under the Time Series
Graph menu.
Autocorrelation
alternately displays or hides the autocorrelation of the differenced series.
Partial Autocorrelation
alternately hides or displays the partial autocorrelations of differenced series.
Variogram
alternately hides or displays the variogram of the differenced series.
Save appends the differenced series to the original data table. The leading d + sD elements are lost in the
differencing process. They are represented as missing values in the saved series.
Modeling Reports
The time series modeling commands are used to fit theoretical models to the series and use the fitted model
to predict (forecast) future values of the series. These commands also produce statistics and residuals that
allow you to ascertain the adequacy of the model you have elected to use. You can select the modeling
commands repeatedly. Each time you select a model, a report of the results of the fit and a forecast is added
to the platform results.
The fit of each model begins with a dialog that lets you specify the details of the model being fit as well as
how it will be fit. Each general class of models has its own dialog, as discussed in their respective sections.
The models are fit by maximizing the likelihood function, using a Kalman filter to compute the likelihood
function. The ARIMA, seasonal ARIMA, and smoothing models begin with the following report tables.
Model Comparison Table
Figure 14.6 shows the Model Comparison Report.
Figure 14.6 Model Comparison
The Model Comparison table summarizes the fit statistics for each model. You can use it to compare several
models fitted to the same time series. Each row corresponds to a different model. The models are sorted by
the AIC statistic. The Model Comparison table shown above summarizes the ARIMA models (1, 0, 0),
(0, 0, 1), (1, 0, 1), and (1, 1, 1) respectively. Use the Report checkbox to show or hide the Model Report for
a model.
The Model Comparison report has red-triangle menus for each model, with the following options:
Fit New opens a window giving the settings of the model. You can change the settings to fit a different
model.