Sharad, The approach that you are taking is often insufficient to form an appropriate model.
For a few reasons ... 1. The model may be different than a p,p-1 model which is the assumed model when using their automatic aic selection. 2. The residuals from the model may have a non-constant mean requiring Pulses, Level Shifts , Seasonal Pulses and/or Local Time Trends. Failure to remove or model these components often (always !) yields a FALSE AUTOCORRELATION signal 3. The model may have changed over time 4. The parameter may have changed over time .. etc... To solve your problem simply download from DOWNLOAD.COM the latest release of FreeFore or go directly to the site http://www.autobox.com/freef.exe For more on automatic modeling see http://www.autobox.com/pdfs/catchword.pdf If I can help simply send me the series with all of it's characteristics in an excel file and I will process it through AUTOBOX/FreeFore Regards Dave Reilly AFS 215-675-0652 -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Behalf Of sharad gupta Sent: Friday, February 13, 2004 1:46 AM To: [EMAIL PROTECTED] Subject: [edstat] Time series and correlated residuals Hi! I am fitting a time-series model using proc arima in SAS.I fitted the model with the AR,MA parameter and model is parsimonious with smalles AIC,BIC and variance.In short looks like a best fit but unfortunately I am not been able remove the correlation in the residuals I tried with different parameters but correlation of residuals does not goes away. There is no exogenous variable available. I tried series with over differencing and taking Log transform also but the problem persists.. can anybody help me in how I can model this time series using proc arima? or any other suggestion is welcome. Thanks in advance, Sharad . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . ================================================================= . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
