Results: arma11_cancellation.sas

ACF and PACF of ARMA(1,1) with ph1 = theta1

Same as Random Shocks!

The ARIMA Procedure

The Arima Procedure

Identification 1

Descriptive Statistics


Name of Variable = z1
Mean of Working Series	-0.08944
Standard Deviation	0.999505
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	0.93	6	0.9880	-0.025	-0.008	0.051	-0.022	-0.020	-0.018
12	9.06	12	0.6975	-0.114	-0.039	0.049	-0.054	-0.133	-0.031
18	20.45	18	0.3078	-0.029	0.006	-0.006	0.039	-0.054	0.215
24	23.68	24	0.4799	-0.086	-0.013	-0.029	-0.011	-0.018	-0.074

Series Correlation Panel

Trend and Correlation Analysis for z1

Identification 2

Descriptive Statistics


Name of Variable = z2
Mean of Working Series	0.032043
Standard Deviation	0.982202
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	6.77	6	0.3430	-0.051	0.034	0.006	-0.154	-0.019	-0.070
12	11.94	12	0.4508	0.011	0.129	-0.076	0.026	0.011	-0.034
18	20.32	18	0.3151	0.036	-0.004	-0.166	0.032	-0.087	0.029
24	25.23	24	0.3931	0.050	0.063	0.043	0.075	-0.067	-0.056

Series Correlation Panel

Trend and Correlation Analysis for z2

Identification 3

Descriptive Statistics


Name of Variable = z3
Mean of Working Series	-0.00035
Standard Deviation	1.010731
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	7.84	6	0.2499	-0.057	-0.058	-0.112	-0.089	0.105	-0.009
12	8.99	12	0.7034	0.019	-0.064	0.024	-0.014	-0.000	0.016
18	14.10	18	0.7224	0.046	-0.049	-0.004	-0.098	-0.038	0.088
24	19.59	24	0.7199	0.087	-0.006	0.029	0.040	-0.117	0.024

Series Correlation Panel

Trend and Correlation Analysis for z3

ACF and PACF of ARMA(1,1) with ph1 = -theta1

Not Random Shocks. No Cancellation Occurs.

The ARIMA Procedure

The Arima Procedure

Identification 1

Descriptive Statistics


Name of Variable = z1
Mean of Working Series	0.054768
Standard Deviation	2.343828
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	311.50	6	<.0001	0.858	0.628	0.453	0.329	0.235	0.167
12	325.86	12	<.0001	0.131	0.105	0.055	-0.022	-0.101	-0.160
18	347.28	18	<.0001	-0.179	-0.167	-0.138	-0.098	-0.073	-0.069
24	357.52	24	<.0001	-0.061	-0.073	-0.104	-0.114	-0.099	-0.050

Series Correlation Panel

Trend and Correlation Analysis for z1

Identification 2

Descriptive Statistics


Name of Variable = z2
Mean of Working Series	-0.28543
Standard Deviation	2.061506
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	339.16	6	<.0001	0.842	0.607	0.489	0.417	0.327	0.248
12	402.66	12	<.0001	0.219	0.224	0.227	0.231	0.232	0.207
18	415.81	18	<.0001	0.164	0.128	0.105	0.072	0.030	0.017
24	420.60	24	<.0001	0.020	-0.002	-0.029	-0.040	-0.067	-0.117

Series Correlation Panel

Trend and Correlation Analysis for z2

Identification 3

Descriptive Statistics


Name of Variable = z3
Mean of Working Series	-1.0696
Standard Deviation	2.403523
Number of Observations	200

Autocorrelation Check for White Noise


Autocorrelation Check for White Noise
To Lag	Chi-Square	DF	Pr > ChiSq	Autocorrelations
6	228.08	6	<.0001	0.836	0.528	0.283	0.158	0.128	0.144
12	265.64	12	<.0001	0.154	0.141	0.131	0.161	0.208	0.216
18	284.25	18	<.0001	0.162	0.068	-0.018	-0.075	-0.128	-0.179
24	300.96	24	<.0001	-0.198	-0.159	-0.092	-0.039	-0.012	-0.004

Series Correlation Panel

Trend and Correlation Analysis for z3