SAS/ETS 9.22 User''''s Guide 296 doc

Figure 47.10 Enter or Verify the Formula for Your Model Wizard Page This page has the following controls and fields: Equation: displays the equations to apply for modeling.. Map Program

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Enter (Verify) the Formula for Your Model Page

The Enter (Verify) the formula for your model page asks you to enter or verify the formula for your model The title of the page is “Enter the formula for your model” when you are creating a new model; it is “Verify the formula for your model” when you are modifying an existing template

Figure 47.10 Enter or Verify the Formula for Your Model Wizard Page

This page has the following controls and fields:

Equation:

displays the equations to apply for modeling

Variable and Parameter Definitions

displays the list of variable names, types, labels, initial values, whether this variable is an instrument, and output behavior To specify a value in the table, click in the cell and type the desired value To add a row to the table, click the Add button To delete a row from the table, click the Delete button

All dependent variables are instruments

indicates whether all of the exogenous variables are to be instrumental variables (This check box is equivalent to the _EXOG_ option in the INSTRUMENTS statement in the MODEL procedure See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information

Instruments Only Use Intercept

indicates whether to include only the intercept in the list to be instrument variables

Instruments Include Intercept

indicates whether to include an intercept term and all of the exogenous variables as instrumental variables

ID

specifies the name of the ID variable to be created for the input data set You can type any valid SAS variable name in this field or select from the list

Range:

specifies the time range between observations in the data set Select a range from list

Start:

specifies the starting date for the time series in the data set Enter a date value in this field, using a form that is recognizable as a SAS date informat (for example, 1998:1, feb1997, or 03mar1998)

End:

specifies the ending date for the time series in the data set Enter a date value in this field, using a form that is recognizable as a SAS date informat (for example, 1998:1, feb1997, or 03mar1998)

SAS Code

provides the SAS statements for the model

Add button

adds a variable row to the table

Delete button

removes variable row from the table

Map Program Symbols to Data Set Variable Page

Because the variable names of the model and the input data set might not be the same, you need to define a unique mapping between the two sets of variable names

This page enables you to uniquely map the variable names that are used in an existing model program (program symbols) to the variable names of an input data set The purpose of this mapping is to create a new model program that has changed variable names which reflect this mapping

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Figure 47.11 Map Program Symbols to Dataset Variables Wizard Page

This page has the following controls and fields:

Program Symbols: table

lists the name, type, and label of the variables in the existing model The type of the variables include endogenous, exogenous, and variable The Program Symbols table contains all of the defined model variables of the model program that can be mapped Note that the model parameters are never listed

Data Set: table

contains all of the input data set numeric variables that can be mapped It lists the name and label of the variables in the data set You can identify the type of each variable by mapping program symbols to data set variables

Use the following controls to map between entries in the Program Symbols table and the Data Set table

New Mapping button

creates a new mapping between a model variable selected in the Program Symbols table and

a data set variable selected in the Data Set table This button becomes available only when a model variable and a data set variable are selected To create a mapping, click , then click

an entry in the Program Symbols: table and drag the pointer to an entry in the Dataset: table

Delete button

deletes the selected mapping

Evaluate button

evaluates data

Automatic Mapping button

automatically maps program variables to data set parameters by using their names Click this button to map variables between the Program Symbols and Data Set tables by their variable names If the Program Symbols table contains a variable whose name matches a variable in the Data Set table, these variables are automatically mapped to each other

Suppose that a model with variables Cspread1m, Cspread3m, Cspread6m, Cspread12m, andDate

currently exists and you want to use this existing model with an input data set that contains the variablesdate, usdr0, wti0m, and nymng0m You can use the Map program symbols to data set variables page to mapCspread1m, Cspread3m, Cspread6m,Cspread12m, andDatetodate, usdr0,

wti0m, andnymng0m You can then use this mapping to create a new model program that replaces all instances ofCspread1mwithusdr0and all instances ofCspread3mwithnymng0m, and so on You can also use the new model program with the input data set to generate model fit results

Set Fit Options Page

When this wizard page first opens, it appears with Equation selected from the list on the left side of the page The contents of the page change when other values in the list on the left side are selected The following sections describe the contents of the page for each of the possible selections

Set Fit Options for Equations

The Set fit options page enables you to estimate model parameters by fitting the model equations to input data and optionally select the equations to be fit

Figure 47.12 Set Fit Options for an Equation

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This page has the following controls and fields:

Equations Available to Fit: box

lists the variables in the input data set that you can select to fit equations to

Equations To Fit: box

lists the variables in the input data set that are selected to fit equations to

Sort By:

indicates how the fit options are sorted This field has two list boxes In the left list box, select the variable by which to sort In the right list box, select Ascending, Descending, or Not Sorted

Weight:

specifies a weighting value to apply to each observation when estimating parameters

Missing Value Behavior:

specifies whether missing values are tracked on an equation-by-equation basis or the entire observation is omitted from the analysis when any equation has a missing predicted or actual value for the equation

Library Name:

specifies the SAS library where you can select your data set

Dataset Name:

specifies the selected input data set from the SAS library you would like to work on

Browse button

opens the data set selection window for selecting an input data set

Set Fit Options for a Method

This page enables you to choose how the parameters are to be estimated See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information about available methods of parameter estimation

Figure 47.13 Set Fit Options for a Method

This page has the following controls and fields:

Estimation Methods check boxes

enable you to select the corresponding estimation method All of the methods implemented in PROC MODEL aim to minimize an objective function

The following methods for parameter estimation can be selected (the equivalent MODEL procedure option is shown in parentheses):

 Full Information Maximum Likelihood (FIML)

 Moore-Penrose Generalized Inverse (MPGI)

 Generalized Method of Moments (GMM)

 Iterated Generalized Method of Moments (ITGMM)

 Ordinary Least Squares (OLS) (This is the default.)

 Iterated Ordinary Least Squares (ITOLS)

 Two-Stage Least Squares (2SLS)

 Iterated Two-Stage Least Squares (IT2SLS)

 Three-Stage Least Squares (3SLS)

 Iterated Three-Stage Least Squares (IT3SLS)

 Seemingly Unrelated Regression (SUR)

 Iterated Seemingly Unrelated Regression (ITSUR)

When Estimation Method for GMM or ITGMM check boxes are selected, additional fields are displayed These fields correspond to options used in the kernel options in MODEL procedure You can specify kernel options such as Parzen, Bartlett, and quadratic spectral For more

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information about KERNEL options, see Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide)

Divisor of Variance

specifies a degrees-of-freedom correction in estimating the variance matrix This could be the sum of the weights or the sum of the weights minus the model degrees of freedom

Set Fit Options for an Optimization

This page provides an interface for controlling the objective function minimization process and the integration process If you encounter difficulty in achieving convergence, then changing the settings

of one or more of the process control options might assist in achieving convergence Except for the Method, the templates are numeric Type the appropriate value into the text boxes

NOTE: If you have not been given permission to edit the model, you can only browse the minimiza-tion and integraminimiza-tion process opminimiza-tions

Figure 47.14 Set Fit Options for an Optimation

This page has the following controls and fields:

Method: options

specifies the Gauss method or Marquardt method Gauss is the default

For the Gauss method, the Gauss-Newton parameter-change vector for a system is computed at the end of each iteration The objective function is then computed at the changed parameter values at the start of the next iteration For the Marquardt method, at each iteration, the objective function is evaluated at the parameters changed by the Marquardt-Levenberg parameter-change vector For information about available methods of parameter estimation, see Chapter 18, “The MODEL Procedure,” (SAS/ETS User’s Guide)

Maximum Iterations:

specifies the maximum number of Newton iterations performed at each observation and each replication of Monte Carlo simulations

Maximum number of step halvings:

specifies the maximum number of subiterations allowed for an iteration For the Gauss method, this value limits the number of step halvings For the Marquardt method, this value limits the number of times the step parameter  can be increased The default is MAXSUBITER=30 See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information Minimization Tuning

specifies the Convergence Criteria and Singularity Criteria

Set Fit Options for Constraints

This page lists any previously defined constraints for the model Initially, there are no constraints defined

Figure 47.15 Set Fit Options for Constraints

This page has the following controls and fields:

Simple Bounds

impose simple boundary constraints on the parameter estimates You can specify any number

of statements in this field To add a new constraint, click the Add button

Restrictions

impose linear and nonlinear restrictions on the parameter estimates You can use both Simple Bounds statements and Restrictions statements to impose boundary constraints However, the Simple Bounds statements provide a simpler syntax for specifying these kinds of constraints

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Suppose you want to restrict the parameter that is associated with the first exogenous (independent) variable to be greater than zero (0) To add this parameter restriction to the model template, click the

Add button If the restriction code contains syntax errors, an error dialog box appears that has instructions for correcting the restriction code

Set Fit Options for Tests

This page enables you to perform tests of nonlinear hypotheses on the model parameters You can define statistical tests that are associated with the model parameters This page lists any previously defined parameter tests for the model Initially, there are no tests defined

Figure 47.16 Set Fit Options for Tests

This page has the following controls and fields:

Tests

perform tests of nonlinear hypotheses on the model parameters Test expressions can be composed of parameter names, arithmetic operators, functions, and constants You can specify any number of test statements by typing the test equations in this page

Suppose that you want to test that the parameters that are associated with the first and second

exogenous (independent) variables are equal Click the Add button to display the Test Expression equation

In the Label field, type “My test” In the Expression field, type the following expression: a = b The type of test can be Wald, Lagrange multiplier (LM), likelihood ratio (LR), or all three (ALL) To

add this test, click the Add button If the test expression contains syntax errors, an error dialog box appears that has instructions about correcting the test expression See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information

You can define any number of tests

Set Fit Options for Outputs

Figure 47.17 Set Fit Options for Outputs

This page has the following controls and fields:

Output

specifies which results to display for your fitted model Select one or more check boxes (or select All) to indicate which analyses you want to include in the output data set Select All to display all analyses for each model equation Select Predicted to show the predicted value of this model Select Actual to display the actual value of the model Select Errors to display residual error analysis for each model equation Select Lags Start to display the lag-starting observations

Estimated Covariance of the Equation Errors

displays the cross-equation covariance In addition, the determinant of the matrices is displayed Parameter Estimates

displays the parameter estimates You can show the parameter estimated covariance and correlations matrices by selecting Include Covariance Matrix of Estimates

Library Name:

is the name of the library where the user-specified output is saved