SAS/ETS 9.22 User''''s Guide 1 ppt

IV Time Series Forecasting System 2605Chapter 38.. Overview of the Time Series Forecasting System.. Leonard, Terry WoodfieldAUTOREG Xilong Chen, Jan Chvosta, Richard Potter, Jason Qiao,

SAS/ETS ®

9.22

User’s Guide

SAS®

Documentation

The correct bibliographic citation for this manual is as follows: SAS Institute Inc 2010 SAS/ETS 9.22 User’s Guide Cary, NC: SAS Institute Inc.

SAS/ETS ® 9.22 User’s Guide

Copyright © 2010, SAS Institute Inc., Cary, NC, USA

ISBN 978-1-60764-543-6

All rights reserved Produced in the United States of America.

For a hard-copy book: No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, or otherwise, without the prior written permission of the publisher, SAS Institute Inc.

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1st electronic book, May 2010

1st printing, May 2010

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Chapter 1 What’s New in SAS/ETS 9.22 3

Chapter 2 Introduction 15

Chapter 3 Working with Time Series Data 63

Chapter 4 Date Intervals, Formats, and Functions 127

Chapter 5 SAS Macros and Functions 153

Chapter 6 Nonlinear Optimization Methods 169

II Procedure Reference 191 Chapter 7 The ARIMA Procedure 193

Chapter 8 The AUTOREG Procedure 317

Chapter 9 The COMPUTAB Procedure 463

Chapter 10 The COUNTREG Procedure 517

Chapter 11 The DATASOURCE Procedure 563

Chapter 12 The ENTROPY Procedure(Experimental) 659

Chapter 13 The ESM Procedure 725

Chapter 14 The EXPAND Procedure 763

Chapter 15 The FORECAST Procedure 817

Chapter 16 The LOAN Procedure 871

Chapter 17 The MDC Procedure 913

Chapter 18 The MODEL Procedure 993

Chapter 19 The PANEL Procedure 1309

Chapter 20 The PDLREG Procedure 1395

Chapter 21 The QLIM Procedure 1421

Chapter 22 The SEVERITY Procedure(Experimental) 1491

Chapter 23 The SIMILARITY Procedure 1589

Chapter 24 The SIMLIN Procedure 1659

Chapter 25 The SPECTRA Procedure 1689

Chapter 26 The STATESPACE Procedure 1715

Chapter 27 The SYSLIN Procedure 1761

Chapter 28 The TIMEID Procedure(Experimental) 1825

Chapter 29 The TIMESERIES Procedure 1849

Chapter 30 The TSCSREG Procedure 1919

Chapter 31 The UCM Procedure 1933

Chapter 32 The VARMAX Procedure 2047

Chapter 33 The X11 Procedure 2227

Chapter 34 The X12 Procedure 2295

III Data Access Engines 2395 Chapter 35 The SASECRSP Interface Engine 2397

Chapter 36 The SASEFAME Interface Engine 2499

Chapter 37 The SASEHAVR Interface Engine 2555

IV Time Series Forecasting System 2605

Chapter 38 Overview of the Time Series Forecasting System 2607

Chapter 39 Getting Started with Time Series Forecasting 2611

Chapter 40 Creating Time ID Variables 2667

Chapter 41 Specifying Forecasting Models 2681

Chapter 42 Choosing the Best Forecasting Model 2719

Chapter 43 Using Predictor Variables 2739

Chapter 44 Command Reference 2773

Chapter 45 Window Reference 2781

Chapter 46 Forecasting Process Details 2889

V SAS/ETS Model Editor (Experimental) 2923 Chapter 47 SAS/ETS Model Editor Window Reference 2925

VI Investment Analysis 2977 Chapter 48 Overview 2979

Chapter 49 Portfolios 2983

Chapter 50 Investments 2991

Chapter 51 Computations 3035

Chapter 52 Analyses 3047

Chapter 53 Details 3063

iv

Credits and Acknowledgments

Credits

Documentation

Editing Anne Jones

Technical Review Evan L Anderson, Ming-Chun Chang, Jan Chvosta,

Brent Cohen, Allison Crutchfield, Paige Daniels, Gül Ege, Bruce Elsheimer, Donald J Erdman, Kelly Felling-ham, Sanggohn Han, Laura Jackson, Wilma S Jackson, Wen Ji, Kurt Jones, Kathleen Kiernan, Michael J Leonard,

Li C Li, Mark R Little, Kevin Meyer, Gina Marie Mon-dello, Steve Morrison, Youngjin Park, Jim Seabolt, David Schlotzhauer, Rajesh Selukar, Jennifer Sloan, Mark Traccarella, Michele A Trovero, Charles Sun, Donna E Woodward

Documentation Production Tim Arnold

Software

The procedures in SAS/ETS software were implemented by members of the Advanced Analytics division Program development includes design, programming, debugging, support, documentation, and technical review In the following list, the name of the developer who currently has principal support responsibility for the procedure is listed first

ARIMA Rajesh Selukar, Michael J Leonard, Terry Woodfield

AUTOREG Xilong Chen, Jan Chvosta, Richard Potter, Jason Qiao, John P Sall COMPUTAB Michael J Leonard, Alan R Eaton

COUNTREG Jan Chvosta, Laura Jackson

DATASOURCE Kelly Fellingham, Meltem Narter

ENTROPY Xilong Chen, Arthur Sinko, Greg Sterijevski, Donald J Erdman ESM Michael J Leonard

EXPAND Marc Kessler, Michael J Leonard, Mark R Little

FORECAST Michael J Leonard, Mark R Little, John P Sall

LOAN Richard Potter, Gül Ege

MDC Jan Chvosta

MODEL Marc Kessler, Donald J Erdman, Mark R Little, John P Sall PANEL Jan Chvosta, Greg Sterijevski

PDLREG Xilong Chen, Richard Potter, Jan Chvosta, Leigh A Ihnen QLIM Jan Chvosta

SIMILARITY Michael J Leonard

SEVERITY Mahesh V Joshi

SIMLIN Mark R Little, John P Sall

SPECTRA Marc Kessler, Rajesh Selukar, Donald J Erdman, John P Sall STATESPACE Donald J Erdman, Michael J Leonard

SYSLIN Laura Jackson, Donald J Erdman, Leigh A Ihnen, John P Sall TIMEID Marc Kessler, Michael J Leonard

TIMESERIES Marc Kessler, Michael J Leonard

TSCSREG Jan Chvosta

vi

UCM Rajesh Selukar

VARMAX Youngjin Park

X11 Wilma S Jackson, R Bart Killam, Leigh A Ihnen,

Richard D Langston X12 Wilma S Jackson

Time Series Evan L Anderson, Michael J Leonard, Meltem Narter, Gül Ege Forecasting System

Investment Analysis Gül Ege, Scott Gray, Michael J Leonard

System

Compiler and Andrew Henrick, Stacey Christian

Symbolic Differentiation

SASEHAVR Kelly Fellingham

SASECRSP Kelly Fellingham, Peng Zang

SASEFAME Kelly Fellingham

Testing Shu An, Ming-Chun Chang, Bruce Elsheimer, Kelly Fellingham,

Sanggohn Han, Li C Li, Jennifer Sloan, Charles Sun, Peng Zang

Technical Support

Members Paige Daniels, Wen Ji, Kurt Jones, Kathleen Kiernan,

Gina Marie Mondello, David Schlotzhauer, Donna E Woodward

vii

Hundreds of people have helped the SAS System in many ways since its inception The following individuals have been especially helpful in the development of the procedures in SAS/ETS software Acknowledgments for the SAS System generally appear in Base SAS®software documentation and SAS/ETS software documentation

David Amick Idaho Office of Highway Safety

David M DeLong Duke University

David Dickey North Carolina State University

Douglas J Drummond Center for Survey Statistics

Michel Ferland Statistics Canada

Susie Fortier Statistics Canada

William Fortney Boeing Computer Services

Wayne Fuller Iowa State University

A Ronald Gallant The University North Carolina at Chapel Hill

Phil Hanser Sacramento Municipal Utilities District

Marvin Jochimsen Mississippi R&O Center

Jeff Kaplan Sun Guard

Ken Kraus Center for Research in Security Prices

Dominique Ladiray INSEE

George McCollister San Diego Gas & Electric

Douglas Miller Purdue University

Brian Monsell U.S Census Bureau

Robert Parks Washington University

Benoit Quenneville Statistics Canada

Gregory Sali Idaho Office of Highway Safety

Bob Spatz Center for Research in Security Prices

Mary Young Salt River Project

The final responsibility for the SAS System lies with SAS Institute alone We hope that you will always let us know your opinions about the SAS System and its documentation It is through your participation that SAS software is continuously improved

viii

Part I

General Information