2942 ✦ Chapter 47: SAS/ETS Model Editor Window Reference Enter (Verify) the Formula for Your Model Page The Enter (Verify) the formula for your model page asks you to enter or verify the formula for your model. The title of the page is “Enter the formula for your model” when you are creating a new model; it is “Verify the formula for your model” when you are modifying an existing template. Figure 47.10 Enter or Verify the Formula for Your Model Wizard Page This page has the following controls and fields: Equation: displays the equations to apply for modeling. Variable and Parameter Definitions displays the list of variable names, types, labels, initial values, whether this variable is an instrument, and output behavior. To specify a value in the table, click in the cell and type the desired value. To add a row to the table, click the Add button . To delete a row from the table, click the Delete button . All dependent variables are instruments. indicates whether all of the exogenous variables are to be instrumental variables. (This check box is equivalent to the _EXOG_ option in the INSTRUMENTS statement in the MODEL procedure. See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information. Map Program Symbols to Data Set Variable Page ✦ 2943 Instruments Only Use Intercept indicates whether to include only the intercept in the list to be instrument variables. Instruments Include Intercept indicates whether to include an intercept term and all of the exogenous variables as instrumental variables. ID specifies the name of the ID variable to be created for the input data set. You can type any valid SAS variable name in this field or select from the list. Range: specifies the time range between observations in the data set. Select a range from list. Start: specifies the starting date for the time series in the data set. Enter a date value in this field, using a form that is recognizable as a SAS date informat (for example, 1998:1, feb1997, or 03mar1998). End: specifies the ending date for the time series in the data set. Enter a date value in this field, using a form that is recognizable as a SAS date informat (for example, 1998:1, feb1997, or 03mar1998). SAS Code provides the SAS statements for the model. Add button adds a variable row to the table. Delete button removes variable row from the table. Map Program Symbols to Data Set Variable Page Because the variable names of the model and the input data set might not be the same, you need to define a unique mapping between the two sets of variable names. This page enables you to uniquely map the variable names that are used in an existing model program (program symbols) to the variable names of an input data set. The purpose of this mapping is to create a new model program that has changed variable names which reflect this mapping. 2944 ✦ Chapter 47: SAS/ETS Model Editor Window Reference Figure 47.11 Map Program Symbols to Dataset Variables Wizard Page This page has the following controls and fields: Program Symbols: table lists the name, type, and label of the variables in the existing model. The type of the variables include endogenous, exogenous, and variable. The Program Symbols table contains all of the defined model variables of the model program that can be mapped. Note that the model parameters are never listed. Data Set: table contains all of the input data set numeric variables that can be mapped. It lists the name and label of the variables in the data set. You can identify the type of each variable by mapping program symbols to data set variables. Use the following controls to map between entries in the Program Symbols table and the Data Set table. New Mapping button creates a new mapping between a model variable selected in the Program Symbols table and a data set variable selected in the Data Set table. This button becomes available only when a model variable and a data set variable are selected. To create a mapping, click , then click an entry in the Program Symbols: table and drag the pointer to an entry in the Dataset: table. Delete button deletes the selected mapping. Evaluate button evaluates data. Set Fit Options Page ✦ 2945 Automatic Mapping button automatically maps program variables to data set parameters by using their names. Click this button to map variables between the Program Symbols and Data Set tables by their variable names. If the Program Symbols table contains a variable whose name matches a variable in the Data Set table, these variables are automatically mapped to each other. Suppose that a model with variables Cspread1m, Cspread3m, Cspread6m, Cspread12m, and Date currently exists and you want to use this existing model with an input data set that contains the variables date, usdr0, wti0m, and nymng0m. You can use the Map program symbols to data set variables page to map Cspread1m, Cspread3m, Cspread6m, Cspread12m, and Date to date, usdr0, wti0m, and nymng0m. You can then use this mapping to create a new model program that replaces all instances of Cspread1m with usdr0 and all instances of Cspread3m with nymng0m, and so on. You can also use the new model program with the input data set to generate model fit results. Set Fit Options Page When this wizard page first opens, it appears with Equation selected from the list on the left side of the page. The contents of the page change when other values in the list on the left side are selected. The following sections describe the contents of the page for each of the possible selections. Set Fit Options for Equations The Set fit options page enables you to estimate model parameters by fitting the model equations to input data and optionally select the equations to be fit. Figure 47.12 Set Fit Options for an Equation 2946 ✦ Chapter 47: SAS/ETS Model Editor Window Reference This page has the following controls and fields: Equations Available to Fit: box lists the variables in the input data set that you can select to fit equations to. Equations To Fit: box lists the variables in the input data set that are selected to fit equations to. Sort By: indicates how the fit options are sorted. This field has two list boxes. In the left list box, select the variable by which to sort. In the right list box, select Ascending , Descending , or Not Sorted. Weight: specifies a weighting value to apply to each observation when estimating parameters. Missing Value Behavior: specifies whether missing values are tracked on an equation-by-equation basis or the entire observation is omitted from the analysis when any equation has a missing predicted or actual value for the equation. Library Name: specifies the SAS library where you can select your data set. Dataset Name: specifies the selected input data set from the SAS library you would like to work on. Browse button opens the data set selection window for selecting an input data set. Set Fit Options for a Method This page enables you to choose how the parameters are to be estimated. See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information about available methods of parameter estimation. Set Fit Options Page ✦ 2947 Figure 47.13 Set Fit Options for a Method This page has the following controls and fields: Estimation Methods check boxes enable you to select the corresponding estimation method. All of the methods implemented in PROC MODEL aim to minimize an objective function. The following methods for parameter estimation can be selected (the equivalent MODEL procedure option is shown in parentheses): Full Information Maximum Likelihood (FIML) Moore-Penrose Generalized Inverse (MPGI) Generalized Method of Moments (GMM) Iterated Generalized Method of Moments (ITGMM) Ordinary Least Squares (OLS) (This is the default.) Iterated Ordinary Least Squares (ITOLS) Two-Stage Least Squares (2SLS) Iterated Two-Stage Least Squares (IT2SLS) Three-Stage Least Squares (3SLS) Iterated Three-Stage Least Squares (IT3SLS) Seemingly Unrelated Regression (SUR) Iterated Seemingly Unrelated Regression (ITSUR) When Estimation Method for GMM or ITGMM check boxes are selected, additional fields are displayed. These fields correspond to options used in the kernel options in MODEL procedure. You can specify kernel options such as Parzen, Bartlett, and quadratic spectral. For more 2948 ✦ Chapter 47: SAS/ETS Model Editor Window Reference information about KERNEL options, see Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide). Divisor of Variance specifies a degrees-of-freedom correction in estimating the variance matrix. This could be the sum of the weights or the sum of the weights minus the model degrees of freedom. Set Fit Options for an Optimization This page provides an interface for controlling the objective function minimization process and the integration process. If you encounter difficulty in achieving convergence, then changing the settings of one or more of the process control options might assist in achieving convergence. Except for the Method, the templates are numeric. Type the appropriate value into the text boxes. NOTE: If you have not been given permission to edit the model, you can only browse the minimiza- tion and integration process options. Figure 47.14 Set Fit Options for an Optimation This page has the following controls and fields: Method: options specifies the Gauss method or Marquardt method. Gauss is the default. For the Gauss method, the Gauss-Newton parameter-change vector for a system is computed at the end of each iteration. The objective function is then computed at the changed parameter values at the start of the next iteration. For the Marquardt method, at each iteration, the objective function is evaluated at the parameters changed by the Marquardt-Levenberg parameter-change vector. For information about available methods of parameter estimation, see Chapter 18, “The MODEL Procedure,” (SAS/ETS User’s Guide). Maximum Iterations: Set Fit Options Page ✦ 2949 specifies the maximum number of Newton iterations performed at each observation and each replication of Monte Carlo simulations. Maximum number of step halvings: specifies the maximum number of subiterations allowed for an iteration. For the Gauss method, this value limits the number of step halvings. For the Marquardt method, this value limits the number of times the step parameter can be increased. The default is MAXSUBITER=30. See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information. Minimization Tuning specifies the Convergence Criteria and Singularity Criteria. Set Fit Options for Constraints This page lists any previously defined constraints for the model. Initially, there are no constraints defined. Figure 47.15 Set Fit Options for Constraints This page has the following controls and fields: Simple Bounds impose simple boundary constraints on the parameter estimates. You can specify any number of statements in this field. To add a new constraint, click the Add button . Restrictions impose linear and nonlinear restrictions on the parameter estimates. You can use both Simple Bounds statements and Restrictions statements to impose boundary constraints. However, the Simple Bounds statements provide a simpler syntax for specifying these kinds of constraints. 2950 ✦ Chapter 47: SAS/ETS Model Editor Window Reference Suppose you want to restrict the parameter that is associated with the first exogenous (independent) variable to be greater than zero (0). To add this parameter restriction to the model template, click the Add button . If the restriction code contains syntax errors, an error dialog box appears that has instructions for correcting the restriction code. Set Fit Options for Tests This page enables you to perform tests of nonlinear hypotheses on the model parameters. You can define statistical tests that are associated with the model parameters. This page lists any previously defined parameter tests for the model. Initially, there are no tests defined. Figure 47.16 Set Fit Options for Tests This page has the following controls and fields: Tests perform tests of nonlinear hypotheses on the model parameters. Test expressions can be composed of parameter names, arithmetic operators, functions, and constants. You can specify any number of test statements by typing the test equations in this page. Suppose that you want to test that the parameters that are associated with the first and second exogenous (independent) variables are equal. Click the Add button to display the Test Expression equation. In the Label field, type “My test”. In the Expression field, type the following expression: a = b. The type of test can be Wald, Lagrange multiplier (LM), likelihood ratio (LR), or all three (ALL). To Set Fit Options Page ✦ 2951 add this test, click the Add button . If the test expression contains syntax errors, an error dialog box appears that has instructions about correcting the test expression. See Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide), for more information. You can define any number of tests. Set Fit Options for Outputs Figure 47.17 Set Fit Options for Outputs This page has the following controls and fields: Output specifies which results to display for your fitted model. Select one or more check boxes (or select All) to indicate which analyses you want to include in the output data set. Select All to display all analyses for each model equation. Select Predicted to show the predicted value of this model. Select Actual to display the actual value of the model. Select Errors to display residual error analysis for each model equation. Select Lags Start to display the lag-starting observations. Estimated Covariance of the Equation Errors displays the cross-equation covariance. In addition, the determinant of the matrices is displayed. Parameter Estimates displays the parameter estimates. You can show the parameter estimated covariance and correlations matrices by selecting Include Covariance Matrix of Estimates. Library Name: is the name of the library where the user-specified output is saved. . this field, using a form that is recognizable as a SAS date informat (for example, 199 8:1, feb 199 7, or 03mar 199 8). End: specifies the ending date for the time series in the data set. Enter a date. this field, using a form that is recognizable as a SAS date informat (for example, 199 8:1, feb 199 7, or 03mar 199 8). SAS Code provides the SAS statements for the model. Add button adds a variable. quadratic spectral. For more 294 8 ✦ Chapter 47: SAS/ETS Model Editor Window Reference information about KERNEL options, see Chapter 18, “The MODEL Procedure” (SAS/ETS User’s Guide) . Divisor of Variance specifies