title1
'Simulated ARIMA(0,1,1) Series';
data
a;
y1 = 0.9;
a1 = 0;
do
i = -50 to
100;
a = rannor( 32565
);
y = y1 + a - .3534
* a1;
if
i > 0 then
output;
a1 = a;
y1 = y;
end;
run;
proc
print data=a;
run;
ods
html;
ods
graphics on;
proc
arima data=a;
identify
var=y nlag=15;
run;
identify
var=y(1)
nlag=15;
run;
estimate
q=1
;
run;
quit;
proc
arima data=a;
identify
var=y nlag=15;
run;
identify
var=y(1)
nlag=15;
run;
estimate
q=1
noconstant;
run;
quit;
/*Forecast
12 periods using the Arima(0,1,1) Model*/
data
future;
input
y i;
datalines;
. 101
. 102
. 103
. 104
. 105
. 106
. 107
. 108
. 109
. 110
. 111
. 112
run;
data
a1;
update
a future;
by
i;
run;
proc
arima data=a1;
identify
var=y nlag=15;
run;
identify
var=y(1)
nlag=15;
run;
estimate
q=1
noconstant;
run;
forecast
lead=12
out=fcast;
run;
proc
print data=fcast;
run;
ods
graphics off;
ods
html close;