I am testing SAS and R with time series.
I have this code in R
ARIMA (1,1,0) (0,1,1)
ar1_ma12noint<-arima(qxts, order = c(1,1,0),seasonal = list(order = c(0,1, 1), period = 12),
include.mean = FALSE )
ar1_ma12noint
(1-pnorm(abs(ar1_ma12noint$coef)/sqrt(diag(ar1_ma12noint$var.coef))))*2
And this code in SAS,
proc arima data= serie.diff12_r plots(unpack)=series(corr crosscorr);
identify var=pasajeros nlag=60 ;
estimate p=(1) q=(12) noint ;
run;
EDIT: SPSS shows same estimate parameter than SAS.
i have same model in both of them but
R shows this estimate parameters:
Coefficients:
ar1 sma1
-0.353 -0.498
se 0.082 0.068
And SAS,
MA1,1 0.48528 0.08367 5.80 <.0001 12
AR1,1 -0.34008 0.08666 -3.92 0.0001 1
I am wondering why estimate is different beetween two programs. I mean the sing for seasonal ma parameter.
thanks for all!
EDIT: i think R shows moving average model with change sing.
Question is close!
Two things:
Specifying ML estimates and adding differencing of orders (1 12)
should produce the same results:
proc arima data= serie.diff12_r plots(unpack)=series(corr crosscorr);
identify var=pasajeros(1 12) nlag=60 ;
estimate p=(1) q=(12) noint method=ml;
run;
The technical post webpages of this site follow the CC BY-SA 4.0 protocol. If you need to reprint, please indicate the site URL or the original address.Any question please contact:yoyou2525@163.com.