SAS/ETS 9 22 User''''''''s Guide 211 pot

... illustrating the COINTTEST= option follow: MODEL Statement ✦ 2 097 procedure is used. See the section “Bayesian VAR and VARX Modeling” on page 21 39 for details. The following options can be used with the ... option. For the PRIOR=(mean) option in the BVAR(2), ˆ D Â  1;11  1;12  2;11  2;12  1;21  1 ;22  2;21  2 ;22 Ã D Â 2 0:1 1 0 0:5 3 0 1 Ã where  l;ij is an element of ˆ , l i...

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... sources of information about SAS/ETS software. Accessing the SAS/ETS Sample Library The SAS/ETS Sample Library includes many examples that illustrate the use of SAS/ETS software, including the ... with polynomial distributed (Almon) lags. The PDLREG procedure includes the following features: 22 ✦ Chapter 2: Introduction your own SAS programs in lowercase, uppercase, or a mixture of...

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... cpi 1 JUN90 114.3 . 2 JUL90 114.5 . 3 AUG90 116.5 131.6 4 SEP90 118.4 132.7 5 OCT90 120.8 133.5 6 NOV90 120.1 133.8 7 DEC90 118.7 133.8 8 JAN91 1 19. 0 134.6 9 FEB91 117.2 134.8 10 MAR91 116.2 ... the intervals January 1, 196 0, February 1, 196 1, March 1, 196 2, and so forth, and the intervals December 1, 195 9, November 1, 195 8, and so on before the base date January 1, 196 0. Similarly,...

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... variable &DFTEST. If the p-value is less than 0.01 or larger than 0 .99 , the macro variable &DFTEST is set to 0.01 or 0 .99 , respectively. (The same value is given in the macro variable &DFPVALUE ... variable &DFPVALUE. If the p-value is less than 0.01 or larger than 0 .99 , the macro variable &DFPVALUE is set to 0.01 or 0 .99 , respectively. Minimum Observations The min...

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... options. ALL produces all plots appropriate for the particular analysis. PROC ARIMA Statement ✦ 2 29 NONE suppresses all plots. SERIES(< series-plot-options > ) produces plots associated with ... ; FORECAST options ; The PROC ARIMA and IDENTIFY statements are required. PROC ARIMA Statement ✦ 227 Table 7.3 continued Description Statement Option specify moving-average starting values E...

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... var=ylog; estimate p=2; forecast lead=10 out=out; run; data out; set out; y = exp( ylog ); l95 = exp( l95 ); u95 = exp( u95 ); forecast = exp( forecast + std * std/2 ); run; Specifying Series Periodicity ... quantities ı and Ä are efficiently computed by a method described in de Jong and Penzer ( 199 8); see also Kohn and Ansley ( 198 5). Modeling in the Presence of Outliers In practice, model...

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... Estimates SSE 97 .71 1226 DFE 33 MSE 2 .96 095 Root MSE 1.72074 SBC 142.3 697 87 AIC 1 39. 2 590 91 MAE 1. 299 493 85 AICC 1 39. 634 091 MAPE 8. 192 2836 HQC 140.33 290 3 Regress R-Square 0 .91 09 Total R-Square 0 .91 09 Miscellaneous ... Least Squares Estimates SSE 214 .95 34 29 DFE 34 MSE 6. 3221 6 Root MSE 2.514 39 SBC 173.6 591 01 AIC 170. 492 063 MAE 2.0 190 3356 AICC 170.855 699...

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... default. TEST=LM produces a Lagrange multiplier test for heteroscedasticity. The null hypothesis is homoscedas- ticity; the alternative hypothesis is heteroscedasticity of the form specified by the HETERO statement. ... supports a TEST statement for linear hypothesis tests. The syntax of the TEST statement is TEST equation , . . . , equation / option ; The TEST statement tests hypotheses about...

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... model. Under the null hypothesis, the Chow test statistic has an F distribution with k and .n 1 C n 2  2k/ degrees of freedom, where k is the number of elements in ˇ. Chow ( 196 0) suggested another ... P= option. 404 ✦ Chapter 8: The AUTOREG Procedure Wong and Li’s Test for ARCH Disturbances Wong and Li ( 199 5) propose a rank portmanteau statistic to minimize the effect of the existence of...

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... 0 .221 867 -2.08 Algorithm converged. Maximum Likelihood Estimates SSE 102 29. 2303 DFE 16 MSE 6 39. 326 89 Root MSE 25.28 491 SBC 193 .738877 AIC 1 89. 75 594 7 MAE 18.0 892 426 AICC 192 . 4226 14 MAPE 21. 097 8407 ... -18.6582 34.8101 -0.54 0. 599 3 gef 1 0.03 39 0.01 79 1. 89 0.07 69 Lagged Value of GE shares gec 1 0.13 69 0.04 49 3.05 0.0076 Lagged Capital Stock GE AR1 1 -0. 499 6...

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