Modeling and Multivariate Methods - SAS

374 Performing Time Series Analysis Chapter 14
Transfer Functions
Constrain Fit
toggles constraining of the AR and MA coefficients.
Forecast Periods specifies the number of forecasting periods for forecasting.
Using the information from prewhitening, we specify the model as shown in Figure 14.14.
Model Reports
The analysis report is titled Transfer Function Model and is indexed sequentially. Results for the Series J
example are shown in Figure 14.15.
Figure 14.15 Series J Transfer Function Reports
Model Summary
gathers information that is useful for comparing models.
Parameter Estimates shows the parameter estimates and is similar to the ARIMA version. In addition,
the Variable column shows the correspondence between series names and parameters. The table is
followed by the formula of the model. Note the notation B is for the backshift operator.
Residuals, Iteration History
are the same as their ARIMA counterparts.
Interactive Forecasting provides a forecasting graph based on a specified confidence interval. The
functionality changes based on the number entered in the Forecast Periods box.
If the number of Forecast Periods is less than or equal to the Input Lag, the forecasting box shows the
forecast for the number of periods. A confidence interval around the prediction is shown in blue, and
this confidence interval can be changed by entering a number in the Confidence Interval box above the
graph.