SAS for Forecasting Time Series, Third Edition, 3rd Edition

Index

A

ACF (autocorrelation function) 47, 48–50, 52–54

Additive model 285

ADF (Augmented Dickey-Fuller) 84

ADJMEAN option 336

Airline Passengers example 296–299

aliasing 342

ALTPARM option 140

amplitude 333

analysis methods 2–5

See also spectral analysis

AR models

extensions of 266–267

fitting in REG procedure 37–40

ARCH procedure 184–189

ARIMA model

about 25, 41

cointegration 189–208

example and instructions 56–104

methodology and example 122–161

model identification 46–56

models with explanatory variables 119–121

predictions 42–46

regression with time series errors and unequal variances 177–189

seasonal time series 107–120

statistical background 41

steps for analyzing nonseasonal univariate series 104–105

terminology and notation 41–42

ARIMA ...