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Solving a PPNR Balance Model Development Dilemma: Reconciling “PROC AUTOREG” and “PROC ARIMA” Output

A common source of frustration in PPNR balance model development is the discrepancy in coefficients and error estimates when a model is specified using two common SAS commands: PROC AUTOREG and PROC ARIMA. As we describe herein, our solution is not to use a single SAS command, but to adjust both SAS command defaults to minimize the discrepancy. “PROC AUTOREG,” “PROC ARIMA,” or both? SAS provides two distinct approaches for developing time series models: the PROC AUTOREG command, which generates an autoregressive form of a generalized least squares (GLS) model, and the PROC ARIMA command, which generates an Autoregressive Integrated ...

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