SAS/ETS 9.22 User''''s Guide 310 pptx

SASECRSP engine,2417CRSP Integer Date Format SASECRSP engine,2416 CRSP monthly binary files DATASOURCE procedure,644 CRSP monthly character files DATASOURCE procedure,644 CRSP monthly IB

Trang 1

SASECRSP engine,2417

CRSP Integer Date Format

CRSP monthly binary files

DATASOURCE procedure,644

CRSP monthly character files

CRSP monthly IBM binary files

CRSP monthly security files

CRSP stock files

CRSPAccess Database

CRSPDB_SASCAL environment variable

CRSPDCI Date Functions

CRSPDCS Date Functions

CRSPDI2S Date Function

CRSPDIC Date Functions

CRSPDS2I Date Function

CRSPDSC Date Functions

CRSPDT Date Formats

cubic

trend curves,2912

cubic trend,2912

cumulative statistics operators,792

Currency Conversion,3038

custom model specification,2797

custom models

forecasting models,2700

specifying,2700

CUSUM statistics,368,382

Da Silva method

PANEL procedure,1350

damped-trend exponential smoothing,2903

smoothing models,2903

data frequency, see time intervals

data periodicity

FORECAST procedure,839

data requirements

ARIMA procedure,224

FORECAST procedure,850

X11 procedure,2258

data set,2633

concatenated,2638 forecast data set,2634 forms of,2634 interleaved,2636 simple,2635 data set selection,2619,2801 DATA step,49

SAS data sets,49 DATASETS procedure,49 DATASOURCE procedure attributes,564 attributes of variables,589 auxiliary data sets,564 balance of payment statistics data files,564 BEA data files,564

BEA national income and product accounts

PC Format,634 BEA S-pages,564 BLS consumer price index surveys,635 BLS data files,564

BLS national employment, hours, and earnings survey,636

BLS producer price index survey,635 BLS state and area employment, hours, and earnings survey,637

BOPS data file,653 Bureau of Economic Analysis data files,564 Bureau of Labor Statistics data files,564 Center for Research in Security Prices data files,564

CITIBASE format,567 CITIBASE old format,638 CITIBASE PC format,639 COMPUSTAT data files,564,639 COMPUSTAT IBM 360/370 general format

48 quarter files,641 COMPUSTAT IBM 360/370 general format annual files,640

COMPUSTAT universal character format 48 quarter files,643

COMPUSTAT universal character format annual files,642

Consumer Price Index Surveys,564 cross sections,571,573,576,587 CRSP annual data,649

CRSP calendar/indices files,645 CRSP daily binary files,644 CRSP daily character files,644 CRSP daily IBM binary files,644 CRSP daily security files,646 CRSP data files,564

CRSP monthly binary files,644 CRSP monthly character files,644 CRSP monthly IBM binary files,644

Trang 2

CRSP monthly security files,647

CRSP stock files,644

CRSPAccess Database,644

direction of trade statistics data files,564

DOTS data file,653

DRI Data Delivery Service data files,564

DRI data files,564,637

DRI/McGraw-Hill data files,564,637

DRIBASIC data files,638

DRIBASIC economics format,567

DRIDDS data files,638

employment, hours, and earnings survey,564

event variables,586,587,593

FAME data files,564

FAME Information Services Databases,564,

649

formatting variables,589

frequency of data,568

frequency of input data,583

generic variables,594

GFS data files,654

Global Insight data files,564,637,638

Global Insight DRI data files,637

government finance statistics data files,564

Haver Analytics data files,651

ID variable,593

IMF balance of payment statistics,653

IMF data files,564

IMF direction of trade statistics,653

IMF Economic Information System data files,

652

IMF government finance statistics,654

IMF International Financial Statistics,571

IMF international financial statistics,652

indexing the OUT= data set,582,625

input file,582,583

international financial statistics data files,564

International Monetary Fund data files,564,

652

labeling variables,590

lengths of variables,578,590

main economic indicators (OECD) data files,

564

national accounts data files (OECD),564

national income and product accounts,564,

634

NIPA Tables,634

obtaining descriptive information,569,

573–575,594–597

OECD ANA data files,654

OECD annual national accounts,654

OECD data files,564

OECD main economic indicators,656

OECD MEI data files,656

OECD QNA data files,655 OECD quarterly national accounts,655 Organization for Economic Cooperation and Development data files,564,654 OUTALL= data set,574

OUTBY= data set,573 OUTCONT= data set,569,575 output data sets,567,592,594–597 Producer Price Index Survey,564 reading data files,567

renaming variables,576,591 SAS YEARCUTOFF= option,588 state and area employment, hours, and earnings survey,564

stock data files,564 subsetting data files,567,580 time range,588

time range of data,570 time series variables,568,593 type of input data file,582 U.S Bureau of Economic Analysis data files, 634

U.S Bureau of Labor Statistics data files,635 variable list,591

DATE

ID variables,71 date values,2617 calendar functions and,95 computing datetime values from,96 computing from datetime values,96 difference between dates,100 formats,70,142

formats for,70 functions,147 incrementing by intervals,98 informats,69,140

informats for,69 INTNX function and,98 normalizing to intervals,100 SAS representation for,68 syntax for,68

time intervals,128 time intervals and,99 DATE variable,71 dates

alignment of,2810 DATETIME

ID variables,71 datetime values computing calendar variables from,97 computing from calendar variables,96 computing from time variables,96 computing time variables from,97 formats,70,146

Trang 3

formats for,70

functions,147

informats,69,140

informats for,69

SAS representation for,69

syntax for,69

time intervals,128

DATETIME variable,71

dating variables,2674

decomposition of prediction error covariance

VARMAX procedure,2089,2125

default time ranges,2803

defined

INTCK function,98

interleaved time series,80

INTNX function,97

omitted observations,78

time values,69

definition

S matrix,1058

time series,2608

degrees of freedom correction,1076

denominator factors

transfer function model,222

dependency list

MODEL procedure,1223

Depreciation,3001

derivatives

DERT variable,1117

descriptive statistics, see UNIVARIATE procedure

design matrix

ARIMAX models and,221

details

generalized method of moments,1061

developing

forecasting models,2645,2804

developing forecasting models,2645,2804

DFPVALUE macro

Dickey-Fuller test,157

SAS macros,157

DFTEST macro

output data sets,159

SAS macros,158

seasonality, testing for,158

stationarity, testing for,158

diagnostic tests,2681,2915

time series,2681

diagnostics and debugging

DFPVALUE macro,157

DFTEST macro,158

PROBDF Function,162 significance probabilities,162 significance probabilities for,157 unit root,162

VARMAX procedure,2094 Dickey-Fuller tests,234

DIF function alternatives to,107 explained,105 higher order differences,108 introduced,104

MODEL procedure version,107 multiperiod lags and,108 percent change calculations and,109,110 pitfalls of,106

second difference,108 DIF function and

differencing,104–106 difference between dates date values,100 differences with X11ARIMA/88 X11 procedure,2252 Differencing,2812 differencing ARIMA procedure,213,251,257 DIF function and,104–106 higher order,108

MODEL procedure and,107 multiperiod differences,108 percent change calculations and,109,110 RETAIN statement and,107

second difference,108 STATESPACE procedure,1735 testing order of,158

time series data,104–110 VARMAX procedure,2086 different forms of

output data sets,82 differential algebraic equations ordinary differential equations (ODEs),1197 differential equations

See ordinary differential equations,1120 direction of trade statistics data files, see

DATASOURCE procedure discrete variables, see classification variables discussed

EXPAND procedure,121 distributed lag regression models PDLREG procedure,1395 distribution

of time series,768 distribution of

time series data,768 distribution of time series

Trang 4

EXPAND procedure,768

DOT as a GLUE character

SASEFAME engine,2507

DOTS data file

double exponential smoothing, see exponential

smoothing,2901

Brown smoothing model,2901

DRI Data Delivery Service data files, see

DATASOURCE procedure

DRI data files, see DATASOURCE procedure

DRI data files in FAME.db, see SASEFAME

engine

DRI/McGraw-Hill data files, see DATASOURCE

procedure

DRI/McGraw-Hill data files in FAME.db, see

SASEFAME engine

DRIBASIC data files

DRIBASIC economics format

DRIDDS data files

DROP in the DATA step

dual quasi-Newton method

AUTOREG procedure,381

Durbin h test

Durbin t test

Durbin-Watson

Durbin-Watson test

autocorrelation tests,353

for first-order autocorrelation,329

for higher-order autocorrelation,329

p-values for,329

Durbin-Watson tests,353

linearized form,361

dynamic models

SIMLIN procedure,1660,1661,1667,1682

dynamic multipliers

SIMLIN procedure,1667,1668

dynamic regression,194,216,2813,2814

specifying,2751

dynamic regressors

dynamic simulation,1118

MODEL procedure,1118,1167

SIMLIN procedure,1661 dynamic simultaneous equation models VARMAX procedure,2108 econometrics

features in SAS/ETS software,23 editing selection list

forecasting models,2706 EGARCH model

AUTOREG procedure,342 EGLS method

AUTOREG procedure,374 embedded in time series missing values,78 embedded missing values,78 embedded missing values in time series data,78 Empirical Distribution Estimation MODEL procedure,1073 employment, hours, and earnings survey, see

DATASOURCE procedure ending dates of

time intervals,100 endogenous variables SYSLIN procedure,1764 endpoint restrictions for polynomial distributed lags,1396,1402 Engle’s Lagrange Multiplier test,403 Engle’s Lagrange Multiplier test for Heteroscedasticity,403 Enterprise Guide,58 Enterprise Miner—Time Series nodes,59 ENTROPY procedure

input data sets,707 missing values,706 ODS graph names,710 output data sets,708 output table names,709 Environment variable, CRSPDB_SASCAL SASECRSP engine,2401

EQ variables,1109,1204 equality restriction linear models,692 nonlinear models,1049,1126 equation translations

MODEL procedure,1204 equation variables

MODEL procedure,1201 Error model options,2815 error sum of squares statistics of fit,2917 ERROR variables,1204 errors across equations contemporaneous correlation of,1797

Trang 5

ESACF (Extended Sample Autocorrelation

Function method),245

ESM procedure

BY groups,733

ODS graph names,749

EST= data set

SIMLIN procedure,1669

ESTIMATE statement,1031

estimation convergence problems

estimation methods

estimation of ordinary differential equations,1120

evaluation range,2878

event variables

DATASOURCE procedure,586,587,593

example

Cauchy distribution estimation,1267

generalized method of moments,1104,1155,

1158–1160

Goldfeld Quandt Switching Regression

Model,1269

Mixture of Distributions,1273

Multivariate Mixture of Distributions,1273

ordinary differential equations (ODEs),1263

The D-method,1269

example of Bayesian VAR modeling

VARMAX procedure,2058

example of Bayesian VECM modeling

example of causality testing

example of cointegration testing

example of multivariate GARCH modeling

example of restricted parameter estimation and

testing

example of VAR modeling

example of VARMA modeling

example of vector autoregressive modeling with

exogenous variables

example of vector error correction modeling

example, COUNTREG,548

examples

Cauchy distribution estimation,1267

Monte Carlo simulation,1266

Simulating from a Mixture of Distributions, 1273

Switching Regression example,1269 systems of differential equations,1263 examples of

time intervals,134 exogenous variables SYSLIN procedure,1764 EXPAND procedure

AGGREGATE method,785 aggregation of time series,765,768

BY groups,775 changing periodicity,122 conversion methods,783 discussed,121

distribution of time series,768 extrapolation,781

frequency,765

ID variables,777,779 interpolation methods,783 interpolation of missing values,122 JOIN method,784

ODS graph names,803 output data sets,801 range of output observations,780 SPLINE method,783

STEP method,785 time intervals,779 transformation of time series,770,786 transformation operations,786 EXPAND procedure and

interpolation,121 time intervals,122 experimental design,56 explained

DIF function,105 LAG function,105 explosive differential equations,1197 ordinary differential equations (ODEs),1197 exponential

trend curves,2913 exponential smoothing, see smoothing models double exponential smoothing,842 FORECAST procedure,818,842 single exponential smoothing,842 triple exponential smoothing,842 exponential trend,2913

Extended Sample Autocorrelation Function

(ESACF) method,245 external

forecasts,2894 external forecasts,2894 external sources forecasting models,2713,2816

Trang 6

EXPAND procedure,781

Factored ARIMA,2783,2812,2851

Factored ARIMA model specification,2817

Factored ARIMA models

specifying,2696

factored model

ARIMA model,216

ARIMA procedure,216

FAME data files, see DATASOURCE procedure

Fame data files, see SASEFAME engine

Fame glue symbol named DOT

FAME Information Services Databases, see

DATASOURCE procedure

Fame Information Services Databases, see

SASEFAME engine

fast Fourier transform

SPECTRA procedure,1696

fatal error when reading from a Fame data base

FCMP procedure,49

SAS functions,49

features in SAS/ETS software

econometrics,23

FIML estimation method, see full information

maximum likelihood

Financial Functions

PROBDF Function,162

financial functions,51

finishing the Fame CHLI

finite Fourier transform

SPECTRA procedure,1690

finite memory forecasts

ARIMA procedure,261

first-stage R squares,1137

fitting

fitting forecasting models,2648

fixed effects model

one-way,1332

two-way,1333

fixed rate mortgage, see LOAN procedure

LOAN procedure,872

flows

contrasted with stock variables,768

for first-order autocorrelation

Durbin-Watson test,329

for higher-order autocorrelation

Durbin-Watson test,329 for interleaved time series

ID variables,80 for multiple selections control key,2626 for nonlinear models instrumental variables,1134 for selection of state space models canonical correlation analysis,1718,1741 for time series data

ID variables,67 forecast combination,2819,2894 FORECAST command,2774 forecast data set, see output data set forecast horizon,2803,2878 forecast options,2823 FORECAST procedure ADDWINTERS method,846 automatic forecasting,818 autoregressive models,840

BY groups,838 confidence limits,851 data periodicity,839 data requirements,850 exponential smoothing,818,842 forecasting,818

Holt two-parameter exponential smoothing,

818,847

ID variables,839 missing values,839 output data sets,850,852 predicted values,851 residuals,851 seasonal forecasting,843,846 seasonality,848

smoothing weights,847 STEPAR method,840 stepwise autoregression,818,840 time intervals,839

time series methods,830 time trend models,828 Winters method,818,843 FORECAST procedure and interleaved time series,80,81 Forecast Studio,51

forecasting,2892 ARIMA procedure,260,263 FORECAST procedure,818 MODEL procedure,1169 STATESPACE procedure,1716,1745 VARMAX procedure,2122

Forecasting menusystem,46 forecasting models

adjustments,2750

Trang 7

ARIMA models,2693

automatic generation,2624

automatic selection,2687

changes in trend,2758

combination models,2710

comparing,2733,2833

custom models,2700

developing,2645,2804

dynamic regressors,2751

editing selection list,2706

external sources,2713,2816

Factored ARIMA models,2696

fitting,2648

interventions,2755

level shifts,2760

linear trend,2742

predictor variables,2739

reference,2736

regressors,2747

seasonal dummy variables,2767

selecting from a list,2685

smoothing models,2690,2897

sorting,2732,2809

specifying,2681

transfer functions,2910

trend curves,2743

forecasting of Bayesian vector autoregressive

models

forecasting process,2617

forecasting project,2638

managing,2827

Project Management window,2639

saving and restoring,2640

sharing,2644

forecasts,2665

confidence limits,2664

external,2894

plotting,2664

producing,2632,2852

form of

state space models,1716

formats

date values,70,142

datetime values,70,146

recommended for time series ID,71

time values,146

formats for

date values,70

datetime values,70

formatting variables

forms of

data set,2634

Fourier coefficients SPECTRA procedure,1701 Fourier transform

SPECTRA procedure,1690 fractional operators,796 FREQ procedure,49 crosstabulations,49 frequency

changing by interpolation,122,765,778 EXPAND procedure,765

of time series observations,84,122 SPECTRA procedure,1700 time intervals and,84,122 frequency of data, see time intervals DATASOURCE procedure,568 frequency of input data

DATASOURCE procedure,583 frequency option

SASEHAVR engine,2556 from interleaved form

transposing time series,117 from standard form

transposing time series,120 full information maximum likelihood FIML estimation method,1762 MODEL procedure,1069 SYSLIN procedure,1772,1797 Fuller Battese

variance components,1340 Fuller’s modification to LIML SYSLIN procedure,1802 functions,51

date values,147 datetime values,147 lag functions,1209 mathematical functions,1208 random-number functions,1208 time intervals,147

time values,147 functions across time MODEL procedure,1209 functions for

calendar calculations,94,147 time intervals,97,147 functions of parameters nonlinear models,1031 G4 inverse,1035

GARCH in mean model, see GARCH-M model GARCH model

AUTOREG procedure,319 conditional t distribution,380 covariance estimates,353

Trang 8

generalized autoregressive conditional

heteroscedasticity,319

heteroscedasticity models,362

initial values,361

starting values,350

t distribution,380

GARCH-M model,380

GARCH in mean model,380

Gauss-Marquardt method

ARIMA procedure,253

Gauss-Newton method,1077

Gaussian distribution

General Form Equations

Jacobi method,1191

Seidel method,1191

generalized autoregressive conditional

heteroscedasticity, see GARCH model

generalized Durbin-Watson tests

generalized least squares

PANEL procedure,1348

generalized least squares estimator of the

covariance matrix,1071

generalized least-squares

Yule-Walker method as,374

Generalized Method of Moments

V matrix,1062,1067

generalized method of moments

details,1061

example,1104,1155,1158–1160

generating models,2789

Generic Cashflow,3008

generic variables

GFS data files

giving dates to

time series data,67

Global Insight data files

DATASOURCE procedure,637,638

Global Insight DRI data files, see DATASOURCE

procedure

global statements,50

GLUE symbol

GMM

simulated method of moments,1066

SMM,1066

GMM in Panel: Arellano and Bond’s Estimator

Panel GMM,1352

goal seeking MODEL procedure,1187 goal seeking problems,1125 Godfrey Lagrange test autocorrelation tests,1108 Godfrey’s test,353

autocorrelation tests,353 Goldfeld Quandt Switching Regression Model example,1269

goodness of fit, see statistics of fit goodness-of-fit statistics, see statistics of fit,2872,

seestatistics of fit government finance statistics data files, see

DATASOURCE procedure gradient of the objective function,1092,1093 Granger causality test

VARMAX procedure,2136 graphics

SAS/GRAPH software,52 graphs, see Model Viewer, see Time Series Viewer grid search

MODEL procedure,1086 Hannan-Quinn information criterion AUTOREG procedure,383 Hausman specification test,1129 MODEL procedure,1129 Haver Analytics data files DATASOURCE procedure,651 Haver data files, see SASEHAVR engine Haver Information Services Databases, see

SASEHAVR engine HCCME 2SLS,1107

HCCME 3SLS,1107 HCCME =

hccme=0,1361 PANEL procedure,1361 HCCME OLS,1105

HCCME SUR,1106 hccme=0

HCCME =,1361 help system,22 Henze-Zirkler test,1098 normality tests,1098 heteroscedastic errors,1061 heteroscedastic extreme value model MDC procedure,925,952 Heteroscedasticity

Engle’s Lagrange Multiplier test for,403 Lee and King’s test for,403

Portmanteau Q test for,402 Wong and Li’s test for,404 heteroscedasticity,997,1100 AUTOREG procedure,334

Trang 9

Lagrange multiplier test,364

testing for,334

Heteroscedasticity Corrected Covariance Matrices,

1361

heteroscedasticity models, see GARCH model

constrained estimation,363

covariates,362,1437

link function,363

heteroscedasticity tests

Breusch-Pagan test,1100

Lagrange multiplier test,364

White’s test,1100

Heteroscedasticity-Consistent Covariance Matrix

Estimation ,1105

higher order

differencing,108

higher order differences

DIF function,108

higher order sums

summation,113

Hildreth-Lu

AR initial conditions,1141

Hildreth-Lu method

histograms, see CHART procedure

hold-out sample,2803

hold-out samples,2736

Holt smoothing model, see linear exponential

smoothing

Holt two-parameter exponential smoothing

FORECAST procedure,818,847

Holt-Winters Method, see Winters Method

Holt-Winters method, see Winters method

homoscedastic errors,1100

HTML

creating from Model Viewer,2846

creating from Time Series Viewer,2886

hyperbolic

trend curves,2913

hyperbolic trend,2913

ID groups

MDC procedure,936

ID values for

time intervals,99

ID variable, see time ID variable

ID variable for

time series data,67

ID variables,2623

ARIMA procedure,263

DATE,71

DATETIME,71

EXPAND procedure,777,779

for interleaved time series,80 for time series data,67 FORECAST procedure,839 PANEL procedure,1321 SIMLIN procedure,1665 sorting by,72

STATESPACE procedure,1734 TSCSREG procedure,1927 X11 procedure,2240,2242 X12 procedure,2311

ID variables for cross-sectional dimensions,79 interleaved time series,80 time series cross-sectional form,79 IGARCH model

AUTOREG procedure,342 IMF balance of payment statistics DATASOURCE procedure,653 IMF data files, see DATASOURCE procedure IMF direction of trade statistics

DATASOURCE procedure,653 IMF Economic Information System data files DATASOURCE procedure,652

IMF government finance statistics DATASOURCE procedure,654 IMF International Financial Statistics DATASOURCE procedure,571 IMF international financial statistics DATASOURCE procedure,652 IML, see SAS/IML software IML Studio software,55 impact multipliers SIMLIN procedure,1667,1672 impulse function

intervention model and,220 impulse response function VARMAX procedure,2090,2111 impulse response matrix

of a state space model,1748

in SAS data sets time series,2608

in standard form output data sets,83 incrementing by intervals date values,98 incrementing dates INTNX function,98 incrementing dates by time intervals,97,98 Independence

BDS test for,351,396 Rank Version of von Neumann Ratio test for, 397

Trang 10

Rank version of von Neumann ratio test for,

360

Runs test for,355,396

Turning Point test for,359,396

independent variables, see predictor variables

indexing

OUT= data set,593

indexing the OUT= data set

inequality restriction

linear models,692

nonlinear models,1024,1049,1126

infinite memory forecasts

ARIMA procedure,261

infinite order AR representation

infinite order MA representation

VARMAX procedure,2090,2111

informats

date values,69,140

datetime values,69,140

time values,140

informats for

date values,69

datetime values,69

initial values,361,941

GARCH model,361

initializations

initializing lags

SIMLIN procedure,1670

innovation vector

input block

COMPUTAB procedure,489

input data set,2619,2801

input data sets

ENTROPY procedure,707

input file

input matrix

input series

ARIMA procedure,216

INPUT variables

X12 procedure,2313

inputs, see predictor variables

installment loans, see LOAN procedure

instrumental regression,1059

instrumental variables,1059

choice of,1134

for nonlinear models,1134

number to use,1135 SYSLIN procedure,1764 instruments,1058

INTCK function calendar calculations and,103 counting time intervals,101 defined,98

INTCK function and time intervals,98,101 interaction effects

ARIMA procedure,221 interest rates

LOAN procedure,894 interim multipliers

SIMLIN procedure,1663,1668,1671,1672 interleaved

data set,2636 interleaved form output data sets,82 interleaved form of time series data set,80 interleaved time series and _TYPE_ variable,80,81 combined with cross-sectional dimension,81 defined,80

FORECAST procedure and,80,81

ID variables for,80 plots of,89 Internal Rate of Return,3050 internal rate of return LOAN procedure,896 internal variables

MODEL procedure,1203 international financial statistics data files, see

DATASOURCE procedure International Monetary Fund data files, see

DATASOURCE procedure DATASOURCE procedure,652 interpolation

between levels and rates,123 between stocks and flows,123 EXPAND procedure and,121

of missing values,122,767 time series data,123

to higher frequency,122

to lower frequency,122 interpolation methods EXPAND procedure,783 interpolation of

missing values,122 time series data,121,122,767 interpolation of missing values EXPAND procedure,122 interpolation of time series

Định dạng
Số trang	10
Dung lượng	371,62 KB