Results: bjb_try.sas

Dropping Parameters One-by-one

The ARIMA Procedure

The Arima Procedure

Estimation 1

Maximum Likelihood Estimation

Maximum Likelihood Estimation
Parameter Estimate Standard
Error		 t Value Approx
Pr > |t|		 Lag
MU -0.27933 0.40956 -0.68 0.4952 0
MA1,1 -0.08521 0.05211 -1.64 0.1020 1

Fit Statistics

Constant Estimate -0.27933
Variance Estimate 52.43771
Std Error Estimate 7.241389
AIC 2503.483
SBC 2511.299
Number of Residuals 368

Correlations of Parameter Estimates

Correlations of Parameter Estimates
Parameter MU MA1,1
MU 1.000 -0.001
MA1,1 -0.001 1.000

Autocorrelation Check of Residuals

Autocorrelation Check of Residuals
To Lag Chi-Square DF Pr > ChiSq Autocorrelations
6 6.98 5 0.2220 0.001 0.003 -0.052 -0.027 -0.031 0.119
12 13.73 11 0.2485 0.055 0.037 -0.072 0.022 0.071 0.052
18 30.61 17 0.0222 -0.059 0.077 -0.082 0.116 0.112 0.039
24 38.54 23 0.0223 0.040 0.071 -0.090 -0.029 0.064 0.023
30 49.34 29 0.0106 0.026 -0.102 -0.057 0.049 0.027 0.098
36 56.02 35 0.0135 0.071 -0.075 -0.065 -0.008 0.021 0.034
42 63.96 41 0.0124 0.064 -0.086 0.057 -0.061 0.017 0.016
48 75.85 47 0.0048 -0.117 -0.039 0.072 0.004 0.068 0.056

Residual Correlation Panel

Residual Correlation Diagnostics for z(1)

Residual Normality Panel

Residual Normality Diagnostics for z(1)

Model Filters

Model for variable z

Model for variable z
Estimated Mean -0.27933
Period(s) of Differencing 1

Moving Average Factors

Moving Average Factors
Factor 1: 1 + 0.08521 B**(1)

Estimation 2

Maximum Likelihood Estimation

Maximum Likelihood Estimation
Parameter Estimate Standard
Error		 t Value Approx
Pr > |t|		 Lag
MA1,1 -0.08637 0.05203 -1.66 0.0969 1

Fit Statistics

Variance Estimate 52.36119
Std Error Estimate 7.236103
AIC 2501.95
SBC 2505.858
Number of Residuals 368

Autocorrelation Check of Residuals

Autocorrelation Check of Residuals
To Lag Chi-Square DF Pr > ChiSq Autocorrelations
6 6.99 5 0.2216 0.001 0.005 -0.051 -0.026 -0.030 0.120
12 13.94 11 0.2363 0.057 0.039 -0.070 0.024 0.072 0.054
18 31.04 17 0.0198 -0.057 0.079 -0.081 0.118 0.113 0.040
24 39.06 23 0.0196 0.041 0.072 -0.089 -0.027 0.066 0.025
30 49.84 29 0.0094 0.028 -0.100 -0.055 0.051 0.028 0.099
36 56.48 35 0.0122 0.072 -0.074 -0.063 -0.007 0.022 0.035
42 64.42 41 0.0112 0.066 -0.085 0.059 -0.060 0.018 0.017
48 76.33 47 0.0044 -0.116 -0.038 0.073 0.005 0.069 0.057

Residual Correlation Panel

Residual Correlation Diagnostics for z(1)

Residual Normality Panel

Residual Normality Diagnostics for z(1)

Model Filters

Model for variable z

Model for variable z
Period(s) of Differencing 1

No mean term in this model.

Moving Average Factors

Moving Average Factors
Factor 1: 1 + 0.08637 B**(1)

Estimation 3

Fit Statistics

Variance Estimate 52.61685
Std Error Estimate 7.253747
AIC 2502.736
SBC 2502.736
Number of Residuals 368

Autocorrelation Check of Residuals

Autocorrelation Check of Residuals
To Lag Chi-Square DF Pr > ChiSq Autocorrelations
6 10.07 6 0.1216 0.087 0.000 -0.053 -0.033 -0.022 0.123
12 17.81 12 0.1216 0.070 0.038 -0.064 0.024 0.079 0.056
18 34.89 18 0.0098 -0.046 0.067 -0.064 0.120 0.127 0.053
24 42.98 24 0.0100 0.051 0.068 -0.085 -0.029 0.065 0.033
30 55.02 30 0.0035 0.021 -0.103 -0.059 0.048 0.041 0.107
36 62.42 36 0.0041 0.074 -0.073 -0.070 -0.011 0.024 0.043
42 68.45 42 0.0061 0.061 -0.075 0.046 -0.054 0.014 0.008
48 80.85 48 0.0021 -0.118 -0.041 0.070 0.017 0.074 0.056

Residual Correlation Panel

Residual Correlation Diagnostics for z(1)

Residual Normality Panel

Residual Normality Diagnostics for z(1)

Model Filters

Model for variable z

Model for variable z
Period(s) of Differencing 1

No mean term in this model.