SAS/ETS 9 22 User''''''''s Guide 10 pps
SAS/ETS 9.22 User''''s Guide 10 pps
... cpi FORECAST STD L95 U95 RESIDUAL
1 JUN 199 0 1 29. 9 . . . . .
2 JUL 199 0 130.4 130.368 0.36160 1 29. 660 131.077 0.03168
3 AUG 199 0 131.6 130.881 0.36160 130.172 131. 590 0.7 190 9
4 SEP 199 0 132.7 132.354 ... Chicago JAN90 ACTUAL 0 128 .100
2 Chicago JAN90 FORECAST 0 128.252
3 Chicago JAN90 RESIDUAL 0 -0.152
4 Chicago FEB90 ACTUAL 0 1 29. 200
5 Chicago FEB90 FORECAST 0 128. 896
6 Chic...
SAS/ETS 9.22 User''''s Guide 5 pps
... regression parameters
– specification tests
Time Series Interpolation and Frequency Conversion ✦ 39
have many series to forecast and you want to extrapolate trends without developing a model for
SAS/ETS 9.22 User''''s Guide 6 ppsx
... (SAS/STAT User’s Guide) . For more information about the SAS Output
Delivery system, refer to the SAS Output Delivery System: User’s Guide.
Related SAS Software
Many features not found in SAS/ETS software ... enable graphical output from SAS/ETS procedures, you must use the following statement in your
SAS program.
ods graphics on;
The graphical output produced by many SAS/ETS procedu...
SAS/ETS 9.22 User''''s Guide 11 ppsx
... max
Consumer 1 29. 9 136.2
Price Index
*
*
JUN 199 0 1 29. 90 |c |
JUL 199 0 130.40 | c |
AUG 199 0 131.60 | c |
SEP 199 0 132.70 | c |
OCT 199 0 133.50 | c |
NOV 199 0 133.80 | c |
DEC 199 0 133.80 | c |
JAN 199 1 134.60 ... datetime datetime10.;
datalines;
91 10 16 21 61
91 10 17 0 56
91 10 17 3 53
more lines
Computing the Ceiling of an Interval ✦ 101
datalines;
15jun 199 0 1...
SAS/ETS 9.22 User''''s Guide 23 pps
... Approx
Parameter Estimate Error t Value Pr > |t| Lag Variable Shift
MU 199 .83602 2 .99 463 66.73 <.0001 0 sales 0
NUM1 -9. 992 99 0.02885 -346.38 <.0001 0 price 0
Any number of input variables ... zero-one indicator for the month of the
advertising effort.
data a;
set a;
ad = (date = '1mar 199 2'd);
run;
proc arima data=a;
identify var=sales crosscorr=ad;
estimate p=1 q=1...
SAS/ETS 9.22 User''''s Guide 25 pps
... statistic is used. If WHITENOISE=ST, a modification of this statistic suggested by Stoffer
and Toloi ( 199 2) is used. The default is WHITENOISE=ST.
Options for Output Data Sets
The following options are ... statistic is used. If WHITENOISE=ST, a modification of this statistic suggested by Stoffer
and Toloi ( 199 2) is used. The default is WHITENOISE=ST.
ESTIMATE Statement
< label: >ESTIM...
SAS/ETS 9.22 User''''s Guide 29 pps
... The test
statistic is based on the chi-square approximation suggested by Box and Jenkins ( 197 6, pp.
395 – 396 ). The cross-correlation function is computed by using the residuals from the model
as ... Simulated IMA Model ✦ 281
title1 'Simulated IMA(1,1) Series';
data a;
u1 = 0 .9; a1 = 0;
do i = -50 to 100 ;
a = rannor( 32565 );
u = u1 + a - .8
*
a1;
if i > 0 then output;
a1...
SAS/ETS 9.22 User''''s Guide 35 pps
... 0.0076 0 .93 04 0.0073 0 .93 19
2 0.0150 0 .99 25 0.0143 0 .99 29
3 0.02 29 0 .99 91 0.0217 0 .99 92
4 0.0308 0 .99 99 0.0 290 0 .99 99
5 0.0367 1.0000 0.0345 1.0000
6 0.0442 1.0000 0.0413 1.0000
7 0.0 522 1.0000 ... 218.8 6103 6 Observations 120
MSE 1.82384 Uncond Var 1.6 299 733
Log Likelihood -187.44013 Total R-Square 0 .99 41
SBC 408. 392 693 AIC 388.88025
MAE 0 .97 051406 AICC 3 89...
SAS/ETS 9.22 User''''s Guide 39 pps
... model (Engle and Ng 199 3), the
threshold GARCH (TGARCH) model (Glosten, Jaganathan, and Runkle 199 3; Zakoian 199 4), and
the power GARCH (PGARCH) model (Ding, Granger, and Engle 199 3). For more details ... observation. This was also demonstrated by
Maeshiro ( 197 6), Chipman ( 197 9), and Park and Mitchell ( 198 0).
For large samples (Harvey and McAvinchey used 100 ), losing the first fe...
SAS/ETS 9.22 User''''s Guide 40 pps
... the number of estimated parameters. Refer to Judge et al. ( 198 5),
Hurvich and Tsai ( 198 9), Schwarz ( 197 8) and Hannan and Quinn ( 197 9) for additional details.
Testing ✦ 387
hypothesis that
˛ D ... k/
T k
where the value of a is obtained from the table by Durbin ( 196 9) if the
1
2
.T k/ 1 Ä 60
. Edgerton
and Wells ( 199 4) provided the method of obtaining the value of a for large s...
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