SERROR Subcommand (ACF command)

SERROR specifies the method of calculating the standard errors for the autocorrelations.

  • You must specify either the keyword IND or MA on SERROR.
  • The method specified on SERROR overrides the method specified on the TSET ACFSE command.
  • If SERROR is not specified, the method indicated on TSET ACFSE is used. If TSET ACFSE is not specified, the default is IND.

IND . Independence model. The method of calculating the standard errors assumes that the underlying process is white noise.

MA . MA model. The method of calculating the standard errors is based on Bartlett’s approximation. With this method, appropriate where the true MA order of the process is k–1, standard errors grow at increased lags 1.

Example

ACF VARIABLES = SALES
  /SERROR=MA.
  • In this example, the standard errors of the autocorrelations are computed using the MA method.
1 Pankratz, A. 1983. Forecasting with univariate Box-Jenkins models: Concepts and cases. New York: John Wiley and Sons.