proc arima

I'd like to know if there is a way in the proc arima of the ts package to
calculate the p-values of the parameters estimates if it used with the xreg
option.

You would have to find the appropriate distribution theory first!  For
approximate normal-based theory the object does contain information to
find standard errors (as printed by print.Arima), and you could copy that
calculation, take ratios and refer to standard normal tables (via pnorm).

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595