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 ... the section “Initial Values” on page 258 for more information. MA=value . . . lists starting values for the moving-average parameters. See the section “Initial Values” on page 258 for mo...

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... 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

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... (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...

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... 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...

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... 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 ... + P | + r | i 132 + c | + e | 131 + I | n | + d 130 + + e | x | 1 29 + + + + + + +- MAY 199 0 AUG 199 0 DEC 199 0 MAR 199 1 JUN 199 1 OCT 199 1 date Using PROC TIMEP...

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... 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...

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... 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 ... IMA Model ✦ 281 title1 'Simulated IMA(1,1) Series'; data a; u1 = 0 .9; a1 = 0; do i = -50 to 100; a = rannor( 3256 5 ); u = u1 + a - .8 * a1; if i > 0 then output; a1 = a; u1 = u...

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... 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 ... 1.6 299 733 Log Likelihood -187.44013 Total R-Square 0 .99 41 SBC 408. 392 693 AIC 388.88 025 MAE 0 .97 051406 AICC 3 89. 88 025 MAPE 2.7 594 5337 HQC 396 .804343 Norma...

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... 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 ... which loses the first 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),...

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... 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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