SAS/ETS 9.22 User''''s Guide 131 pdf

Output 18.19.1 PROC MODEL Output Efficient Method of Moments for Stochastic Volatility Model EMM estimates The MODEL Procedure Model Summary Number of Statements 11 ParametersValue a-0.7

bounds s > 0, 1>b>0;

run;

The output of the MODEL procedure is shown inOutput 18.19.1

Output 18.19.1 PROC MODEL Output

Efficient Method of Moments for Stochastic Volatility Model

EMM estimates

The MODEL Procedure

Model Summary

Number of Statements 11

Parameters(Value) a(-0.736) b(0.9) s(0.363)

Equations m1 m2 m3

The 3 Equations to Estimate

m1 = F(a, b, s) m2 = F(a, b, s) m3 = F(a, b, s) Instruments 1

Nonlinear GMM Parameter Estimates

Parameter Estimate Std Err t Value Pr > |t|

Example 18.20: Illustration of ODS Graphics

This example illustrates graphical output from PROC MODEL This is a continuation of the section

“Nonlinear Regression Analysis” on page 999 These graphical displays are requested by specifying the ODS GRAPHICS ON statement For information about the graphics available in the MODEL procedure, see the section “ODS Graphics” on page 1165

The following statements show how to generate ODS graphics plots with the MODEL procedure The plots are displayed inOutput 18.20.1andOutput 18.20.2 Note that the variabledatein the ID statement is used to define the horizontal tick mark values when appropriate

title1 'Example of Graphical Output from PROC MODEL';

proc model data=sashelp.citimon;

Example 18.20: Illustration of ODS Graphics F 1293

lhur = 1/(a * ip + b) + c;

fit lhur;

id date;

run;

Output 18.20.1 Diagnostics Plots

Output 18.20.2 Diagnostics Plots

You can also obtain the plots in the diagnostics panel as separate graphs by specifying the PLOTS(UNPACK) option These plots are displayed inOutput 18.20.3throughOutput 18.20.10

title1 'Unpacked Graphical Output from PROC MODEL';

proc model data=sashelp.citimon plots(unpack);

lhur = 1/(a * ip + b) + c;

fit lhur;

id date;

run;

Example 18.20: Illustration of ODS Graphics F 1295

Output 18.20.3 Studentized Residuals Plot

Output 18.20.4 Cook’s D Plot

Example 18.20: Illustration of ODS Graphics F 1297

Output 18.20.5 Predicted versus Actual Plot

Output 18.20.6 Autocorrelation of Residuals Plot

Example 18.20: Illustration of ODS Graphics F 1299

Output 18.20.7 Partial Autocorrelation of Residuals Plot

Output 18.20.8 Inverse Autocorrelation of Residuals Plot

Example 18.20: Illustration of ODS Graphics F 1301

Output 18.20.9 Q-Q Plot of Residuals