Dear Statalisters,
I have a question about transfer function model with
ARIMA and REGRESSION precedures.
If the model specification is the same, in my view,
both of the following procedures should have the same
results.
proc reg data=one;
model y= y1 x ;
run;
proc arima data=one;
identify var=y crosscorr=x;
estimate p=1 input=(x );
run;
But it turned out that the above two procedures give
quite different results. CONFUSING!
Can anybody tell me why? THANK YOU!
The data and code in SAS are as follows:
---------------------------
data one;
input x y;
y1=lag(y);
cards;
1 -0.109 53.8
2 0 53.6
3 0.178 53.5
4 0.339 53.5
5 0.373 53.4
6 0.441 53.1
7 0.461 52.7
8 0.348 52.4
9 0.127 52.2
10 -0.18 52
11 -0.588 52
12 -1.055 52.4
13 -1.421 53
14 -1.52 54
15 -1.302 54.9
16 -0.814 56
17 -0.475 56.8
18 -0.193 56.8
19 0.088 56.4
20 0.435 55.7
21 0.771 55
22 0.866 54.3
23 0.875 53.2
24 0.891 52.3
25 0.987 51.6
26 1.263 51.2
27 1.775 50.8
28 1.976 50.5
29 1.934 50
30 1.866 49.2
31 1.832 48.4
32 1.767 47.9
33 1.608 47.6
34 1.265 47.5
35 0.79 47.5
36 0.36 47.6
37 0.115 48.1
38 0.088 49
39 0.331 50
40 0.645 51.1
41 0.96 51.8
42 1.409 51.9
43 2.67 51.7
44 2.834 51.2
45 2.812 50
46 2.483 48.3
47 1.929 47
48 1.485 45.8
49 1.214 45.6
50 1.239 46
;
run;
proc arima data=one;
identify var=y crosscorr=x;
estimate p=1 input=(x );
run;
proc reg;
model y= y1 x ;
run;
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