1
$\begingroup$

I needed to find an adequate model for a time series using SAS and I found two slightly different models that were adequate according to the white noise test. All of the transformations and things I added to the model were also significant according to SAS but there are still about 4 lags that are slightly sticking out for the auto correlations and partial auto correlations. The four lags that are sticking out are spread out between lags 30 and 100, the entire data has 397 lags, and it's the same lags that are slightly sticking out for both the auto correlations and partial auto correlations. Is it possible that a model can be adequate but still have a few lags that slightly stick out?

$\endgroup$
2
$\begingroup$

If your sample size is large ( and I guess it is if you have lags 397 ) then the std .error of the ACF is going to be very small ( 1/sqrt(nob) ) thus you are probably getting a false rejection. If you want you can post the SAS output , the model , the data and your residuals and I might be able to comment/help further.

| cite | improve this answer | |
$\endgroup$
  • $\begingroup$ I will update my question with all of the data along with everything regarding the model from SAS soon, but I did not quite understand what you meant by false rejection. Did you mean that those few lags that were sticking out might be giving me false information and the model is still adequate or the white noise test was giving me false information and the model is actually not adequate? $\endgroup$ – idknuttin Dec 9 '16 at 21:54
  • $\begingroup$ 4 sure ... yes that is what I was intimating $\endgroup$ – IrishStat Dec 9 '16 at 22:14
  • $\begingroup$ I wrote two different statements, which one are you talking about? $\endgroup$ – idknuttin Dec 9 '16 at 22:18
  • $\begingroup$ I only saw one it went :" I will update .........adequate $\endgroup$ – IrishStat Dec 9 '16 at 22:26
  • 1
    $\begingroup$ the first .... is what I was referring to $\endgroup$ – IrishStat Dec 9 '16 at 22:32

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.