The CHECK statement produces statistics for diagnostic checking of residuals from the estimated regARIMA model.
The following tables that are associated with diagnostic checking are displayed in the output: "Autocorrelation of regARIMA Model Residuals," "Partial Autocorrelation of regARIMA Model Residuals," "Autocorrelation of Squared regARIMA Model Residuals," "Outliers of the Unstandardized Residuals," "Summary Statistics for the Unstandardized Residuals," "Normality Statistics for regARIMA Model Residuals," and "Table G Rs: 10*LOG(SPECTRUM) of the regARIMA Model Residuals." If ODS graphics is enabled, the following plots that are associated with diagnostic checking output are produced: the autocorrelation function (ErrorACF) plot of the residuals, the partial autocorrelation function (ErrorPACF) plot of the residuals, the autocorrelation function (SqErrorACF) plot of the squared residuals, a histogram (ResidualHistogram) of the residuals, and a spectral plot (SpectralPlot) of the residuals. For more information about controlling the display of plots, see the PLOTS=RESIDUAL option in the PROC X13 statement.
The residual histogram displayed by the X13 procedure shows the distribution of the unstandardized, uncentered regARIMA model residuals; the residual histogram displayed by the US Census Bureau’s X-13ARIMA-SEATS seasonal adjustment program displays standardized and mean-centered residuals.
The following options can appear in the CHECK statement:
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MAXLAG=value
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specifies the number of lags for the residual sample autocorrelation function (ACF) and partial autocorrelation function (PACF). The default is 36 for monthly series and 12 for quarterly series. The minimum value for MAXLAG= is 1.
For the table "Autocorrelation of Squared regARIMA Model Residuals" and the corresponding SqErrorACF plot, the maximum number of lags calculated is 12 for monthly series and 4 for quarterly series. The MAXLAG= option can only reduce the number of lags for this table and plot.
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PRINT=(option-list)
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specifies the diagnostic checking tables to be displayed. You can specify one or more of the following
options (parentheses are optional; use a space between options):
- NONE
suppresses diagnostic checking output. If PRINT=NONE is specified and no other PRINT= option is specified, then none of the tables that are associated with diagnostic checking are displayed. However, PRINT=NONE has no effect if other PRINT= options are specified in the CHECK statement.
- ALL
specifies that all tables related to diagnostic checking be displayed.
- ACF
displays the table titled "Autocorrelation of regARIMA Model Residuals."
- ACFSQUARED
displays the table titled "Autocorrelation of Squared regARIMA Model Residuals."
- NORM
displays the table titled "Normality Statistics for regARIMA Model Residuals." Measures of normality included in this table are skewness, Geary’s a statistic, and kurtosis.
- PACF
displays the table titled "Partial Autocorrelation of regARIMA Model Residuals."
- RESIDUALOUTLIER
displays the table titled "Outliers of the Unstandardized Residuals" if the residuals contain outliers. You can specify this option either as PRINT=RESIDUALOUTLIER or PRINT=RESOUTLIER.
- RESIDUALSTATISTICS
displays the table titled "Summary Statistics for the Unstandardized Residuals." You can specify this option either as PRINT=RESIDUALSTATISTICS or PRINT=RESSTAT.
- SPECRESIDUAL
displays the table titled "Table G Rs: 10*LOG(SPECTRUM) of the regARIMA Model Residuals."
By default, PRINT=(ACF ACFSQUARED NORM RESIDUALOUTLIER RESIDUALSTATISTICS SPECRESIDUAL).