SAS/ETS 9 22 User''''''''s Guide 46 pps

... 0.0 698 4 . 0 .92 294 4 st_garch_1_1 . 0.02831 0.0 691 3 . 0 .92 260 5 ar_1_garch_1_1 -0.00 599 5 0.02734 0.0 699 4 . 0 .92 282 6 igarch_1_1 . . 0.00000 . 1.00000 7 egarch_1_1 . 0.01541 0.12882 . 0 .98 914 8 ... SBC AIC 1 pgarch_1_1 4 290 7.7 292 42870.7 722 2 egarch_1_1 4 290 5 .96 16 42876. 395 9 3 tgarch_1_1 4 299 5.4 893 4 296 5 .92 36 4 qgarch_1_1 43023.106 4 299 3.5404 5 garchm_1_1 43...

Ngày tải lên: 02/07/2014, 14:21

... 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

Ngày tải lên: 02/07/2014, 14:21

... (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...

Ngày tải lên: 02/07/2014, 14:21

... 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 Chicag...

Ngày tải lên: 02/07/2014, 14:21

... 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...

Ngày tải lên: 02/07/2014, 14:21

... 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 can be ... 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; estima...

Ngày tải lên: 02/07/2014, 14:21

... 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...

Ngày tải lên: 02/07/2014, 14:21

... 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 ... q=(1)(12) noint method=ml; forecast id=date interval=month; run; Statistical Graphics ✦ 2 79 Figure 7 .22 Forecast Plot of the Airline Model ODS Graph Names PROC ARIMA assigns a name to eac...

Ngày tải lên: 02/07/2014, 14:21

... 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 388.88025 MAE 0 .97 051406 AICC 3 89. 88025 MAPE 2.7 594 5337 HQC 396 .804343 Normality T...

Ngày tải lên: 02/07/2014, 14:21

... 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),...

Ngày tải lên: 02/07/2014, 14:21