Model variance for ARIMA models

March 4, 2016
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(This article was first published on R on Rob J Hyndman, and kindly contributed to R-bloggers)

From today’s email:
I wanted to ask you about your R forecast package, in particular the Arima() function. We are using this function to fit an ARIMAX model and produce model estimates and standard errors, which in turn can be used to get p-values and later model forecasts. To double check our work, we are also fitting the same model in SAS using PROC ARIMA and comparing model coefficients and output.

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