I am trying to replicate the calculation that SAS and SPSS do for the partial autocorrelation function (PACF). In SAS it is produced through Proc Arima. The PACF values are the coefficients of an autoregression of the series of interest on lagged values of the series. My variable of interest is sales so I calculate lag1, lag2...lag12 and I run the following OLS regression:
Unfortunately the coefficients that I get are not even close to the PACF (lags 1 to 12) that SAS or SPSS provide. Any suggestions? Is there something wrong? What comes to my mind is that the least squares estimation of this model might not be appropriate and maybe another estimation technique should be used.
Thanks in advance.