Initial Value Subcommands (ARIMA command)

AR, MA, SAR, SMA, REG, and CON specify initial values for parameters. These subcommands refer to the following parameters:

AR. Autoregressive parameter values.

MA. Moving-average parameter values.

SAR. Seasonal autoregressive parameter values.

SMA. Seasonal moving-average parameter values.

REG. Fixed regressor parameter values.

CON. Constant value.

• Each subcommand specifies a value or value list indicating the initial values to be used in estimating the parameters.
• CON can be specified only as a single value, not a value list.
• Values are matched to parameters in sequential order. That is, the first value is used as the initial value for the first parameter of that type, the second value is used as the initial value for the second parameter of that type, and so on.
• Specify only the subcommands for which you can supply a complete list of initial values (one for every lag to be fit for that parameter type).
• If you specify an inappropriate initial value for AR, MA, SAR, or SMA, ARIMA will reset the value and issue a message.
• If MXITER=0, these subcommands specify final parameter values to use for forecasting.

Example

ARIMA VARY
  /MODEL (1,0,2)
  /AR=0.5
  /MA=0.8, -0.3.
ARIMA VARY
  /MODEL (1,0,2)
  /AR=0.5.

• The first command specifies initial estimation values for the autoregressive term and for the two moving-average terms.
• The second command specifies the initial estimation value for the autoregressive term only. The moving-average initial values are estimated by ARIMA.