3082 ✦ Subject Index SASECRSP engine, 2417 CRSP Integer Date Format SASECRSP engine, 2416 CRSP monthly binary files DATASOURCE procedure, 644 CRSP monthly character files DATASOURCE procedure, 644 CRSP monthly IBM binary files DATASOURCE procedure, 644 CRSP monthly security files DATASOURCE procedure, 647 CRSP stock files DATASOURCE procedure, 644 CRSPAccess Database DATASOURCE procedure, 644 CRSPDB_SASCAL environment variable SASECRSP engine, 2401 CRSPDCI Date Functions SASECRSP engine, 2418 CRSPDCS Date Functions SASECRSP engine, 2418 CRSPDI2S Date Function SASECRSP engine, 2418 CRSPDIC Date Functions SASECRSP engine, 2418 CRSPDS2I Date Function SASECRSP engine, 2418 CRSPDSC Date Functions SASECRSP engine, 2418 CRSPDT Date Formats SASECRSP engine, 2416 cubic trend curves, 2912 cubic trend, 2912 cumulative statistics operators, 792 Currency Conversion, 3038 custom model specification, 2797 custom models forecasting models, 2700 specifying, 2700 CUSUM statistics, 368, 382 Da Silva method PANEL procedure, 1350 damped-trend exponential smoothing, 2903 smoothing models, 2903 data frequency, see time intervals data periodicity FORECAST procedure, 839 data requirements ARIMA procedure, 224 FORECAST procedure, 850 X11 procedure, 2258 data set, 2633 concatenated, 2638 forecast data set, 2634 forms of, 2634 interleaved, 2636 simple, 2635 data set selection, 2619, 2801 DATA step, 49 SAS data sets, 49 DATASETS procedure, 49 DATASOURCE procedure attributes, 564 attributes of variables, 589 auxiliary data sets, 564 balance of payment statistics data files, 564 BEA data files, 564 BEA national income and product accounts PC Format, 634 BEA S-pages, 564 BLS consumer price index surveys, 635 BLS data files, 564 BLS national employment, hours, and earnings survey, 636 BLS producer price index survey, 635 BLS state and area employment, hours, and earnings survey, 637 BOPS data file, 653 Bureau of Economic Analysis data files, 564 Bureau of Labor Statistics data files, 564 Center for Research in Security Prices data files, 564 CITIBASE format, 567 CITIBASE old format, 638 CITIBASE PC format, 639 COMPUSTAT data files, 564, 639 COMPUSTAT IBM 360/370 general format 48 quarter files, 641 COMPUSTAT IBM 360/370 general format annual files, 640 COMPUSTAT universal character format 48 quarter files, 643 COMPUSTAT universal character format annual files, 642 Consumer Price Index Surveys, 564 cross sections, 571, 573, 576, 587 CRSP annual data, 649 CRSP calendar/indices files, 645 CRSP daily binary files, 644 CRSP daily character files, 644 CRSP daily IBM binary files, 644 CRSP daily security files, 646 CRSP data files, 564 CRSP monthly binary files, 644 CRSP monthly character files, 644 CRSP monthly IBM binary files, 644 Subject Index ✦ 3083 CRSP monthly security files, 647 CRSP stock files, 644 CRSPAccess Database, 644 direction of trade statistics data files, 564 DOTS data file, 653 DRI Data Delivery Service data files, 564 DRI data files, 564, 637 DRI/McGraw-Hill data files, 564, 637 DRIBASIC data files, 638 DRIBASIC economics format, 567 DRIDDS data files, 638 employment, hours, and earnings survey, 564 event variables, 586, 587, 593 FAME data files, 564 FAME Information Services Databases, 564, 649 formatting variables, 589 frequency of data, 568 frequency of input data, 583 generic variables, 594 GFS data files, 654 Global Insight data files, 564, 637, 638 Global Insight DRI data files, 637 government finance statistics data files, 564 Haver Analytics data files, 651 ID variable, 593 IMF balance of payment statistics, 653 IMF data files, 564 IMF direction of trade statistics, 653 IMF Economic Information System data files, 652 IMF government finance statistics, 654 IMF International Financial Statistics, 571 IMF international financial statistics, 652 indexing the OUT= data set, 582, 625 input file, 582, 583 international financial statistics data files, 564 International Monetary Fund data files, 564, 652 labeling variables, 590 lengths of variables, 578, 590 main economic indicators (OECD) data files, 564 national accounts data files (OECD), 564 national income and product accounts, 564, 634 NIPA Tables, 634 obtaining descriptive information, 569, 573–575, 594–597 OECD ANA data files, 654 OECD annual national accounts, 654 OECD data files, 564 OECD main economic indicators, 656 OECD MEI data files, 656 OECD QNA data files, 655 OECD quarterly national accounts, 655 Organization for Economic Cooperation and Development data files, 564, 654 OUTALL= data set, 574 OUTBY= data set, 573 OUTCONT= data set, 569, 575 output data sets, 567, 592, 594–597 Producer Price Index Survey, 564 reading data files, 567 renaming variables, 576, 591 SAS YEARCUTOFF= option, 588 state and area employment, hours, and earnings survey, 564 stock data files, 564 subsetting data files, 567, 580 time range, 588 time range of data, 570 time series variables, 568, 593 type of input data file, 582 U.S. Bureau of Economic Analysis data files, 634 U.S. Bureau of Labor Statistics data files, 635 variable list, 591 DATE ID variables, 71 date values, 2617 calendar functions and, 95 computing datetime values from, 96 computing from datetime values, 96 difference between dates, 100 formats, 70, 142 formats for, 70 functions, 147 incrementing by intervals, 98 informats, 69, 140 informats for, 69 INTNX function and, 98 normalizing to intervals, 100 SAS representation for, 68 syntax for, 68 time intervals, 128 time intervals and, 99 DATE variable, 71 dates alignment of, 2810 DATETIME ID variables, 71 datetime values computing calendar variables from, 97 computing from calendar variables, 96 computing from time variables, 96 computing time variables from, 97 formats, 70, 146 3084 ✦ Subject Index formats for, 70 functions, 147 informats, 69, 140 informats for, 69 SAS representation for, 69 syntax for, 69 time intervals, 128 DATETIME variable, 71 dating variables, 2674 decomposition of prediction error covariance VARMAX procedure, 2089, 2125 default time ranges, 2803 defined INTCK function, 98 interleaved time series, 80 INTNX function, 97 omitted observations, 78 time values, 69 definition S matrix, 1058 time series, 2608 degrees of freedom correction, 1076 denominator factors transfer function model, 222 dependency list MODEL procedure, 1223 Depreciation, 3001 derivatives MODEL procedure, 1207 DERT. variable, 1117 descriptive statistics, see UNIVARIATE procedure design matrix ARIMAX models and, 221 details generalized method of moments, 1061 developing forecasting models, 2645, 2804 developing forecasting models, 2645, 2804 DFPVALUE macro Dickey-Fuller test, 157 SAS macros, 157 DFTEST macro Dickey-Fuller test, 158 output data sets, 159 SAS macros, 158 seasonality, testing for, 158 stationarity, testing for, 158 diagnostic tests, 2681, 2915 time series, 2681 diagnostics and debugging MODEL procedure, 1217 Dickey-Fuller test, 2916 DFPVALUE macro, 157 DFTEST macro, 158 PROBDF Function, 162 significance probabilities, 162 significance probabilities for, 157 unit root, 162 VARMAX procedure, 2094 Dickey-Fuller tests, 234 DIF function alternatives to, 107 explained, 105 higher order differences, 108 introduced, 104 MODEL procedure version, 107 multiperiod lags and, 108 percent change calculations and, 109, 110 pitfalls of, 106 second difference, 108 DIF function and differencing, 104–106 difference between dates date values, 100 differences with X11ARIMA/88 X11 procedure, 2252 Differencing, 2812 differencing ARIMA procedure, 213, 251, 257 DIF function and, 104–106 higher order, 108 MODEL procedure and, 107 multiperiod differences, 108 percent change calculations and, 109, 110 RETAIN statement and, 107 second difference, 108 STATESPACE procedure, 1735 testing order of, 158 time series data, 104–110 VARMAX procedure, 2086 different forms of output data sets, 82 differential algebraic equations ordinary differential equations (ODEs), 1197 differential equations See ordinary differential equations, 1120 direction of trade statistics data files, see DATASOURCE procedure discrete variables, see classification variables discussed EXPAND procedure, 121 distributed lag regression models PDLREG procedure, 1395 distribution of time series, 768 distribution of time series data, 768 distribution of time series Subject Index ✦ 3085 EXPAND procedure, 768 DOT as a GLUE character SASEFAME engine, 2507 DOTS data file DATASOURCE procedure, 653 double exponential smoothing, see exponential smoothing, 2901 Brown smoothing model, 2901 smoothing models, 2901 DRI Data Delivery Service data files, see DATASOURCE procedure DRI data files, see DATASOURCE procedure DATASOURCE procedure, 637 DRI data files in FAME.db, see SASEFAME engine DRI/McGraw-Hill data files, see DATASOURCE procedure DATASOURCE procedure, 637 DRI/McGraw-Hill data files in FAME.db, see SASEFAME engine DRIBASIC data files DATASOURCE procedure, 638 DRIBASIC economics format DATASOURCE procedure, 567 DRIDDS data files DATASOURCE procedure, 638 DROP in the DATA step SASEFAME engine, 2517 dual quasi-Newton method AUTOREG procedure, 381 Durbin h test AUTOREG procedure, 331 Durbin t test AUTOREG procedure, 331 Durbin-Watson MODEL procedure, 1075 Durbin-Watson test autocorrelation tests, 353 AUTOREG procedure, 329 for first-order autocorrelation, 329 for higher-order autocorrelation, 329 p-values for, 329 Durbin-Watson tests, 353 linearized form, 361 dynamic models SIMLIN procedure, 1660, 1661, 1667, 1682 dynamic multipliers SIMLIN procedure, 1667, 1668 dynamic regression, 194, 216, 2813, 2814 specifying, 2751 dynamic regressors forecasting models, 2751 dynamic simulation, 1118 MODEL procedure, 1118, 1167 SIMLIN procedure, 1661 dynamic simultaneous equation models VARMAX procedure, 2108 econometrics features in SAS/ETS software, 23 editing selection list forecasting models, 2706 EGARCH model AUTOREG procedure, 342 EGLS method AUTOREG procedure, 374 embedded in time series missing values, 78 embedded missing values, 78 embedded missing values in time series data, 78 Empirical Distribution Estimation MODEL procedure, 1073 employment, hours, and earnings survey, see DATASOURCE procedure ending dates of time intervals, 100 endogenous variables SYSLIN procedure, 1764 endpoint restrictions for polynomial distributed lags, 1396, 1402 Engle’s Lagrange Multiplier test, 403 Engle’s Lagrange Multiplier test for Heteroscedasticity, 403 Enterprise Guide, 58 Enterprise Miner—Time Series nodes, 59 ENTROPY procedure input data sets, 707 missing values, 706 ODS graph names, 710 output data sets, 708 output table names, 709 Environment variable, CRSPDB_SASCAL SASECRSP engine, 2401 EQ. variables, 1109, 1204 equality restriction linear models, 692 nonlinear models, 1049, 1126 equation translations MODEL procedure, 1204 equation variables MODEL procedure, 1201 Error model options, 2815 error sum of squares statistics of fit, 2917 ERROR. variables, 1204 errors across equations contemporaneous correlation of, 1797 3086 ✦ Subject Index ESACF (Extended Sample Autocorrelation Function method), 245 ESM procedure BY groups, 733 ODS graph names, 749 EST= data set SIMLIN procedure, 1669 ESTIMATE statement, 1031 estimation convergence problems MODEL procedure, 1088 estimation methods AUTOREG procedure, 370 MODEL procedure, 1057 estimation of ordinary differential equations, 1120 MODEL procedure, 1120 evaluation range, 2878 event variables DATASOURCE procedure, 586, 587, 593 example Cauchy distribution estimation, 1267 generalized method of moments, 1104, 1155, 1158–1160 Goldfeld Quandt Switching Regression Model, 1269 Mixture of Distributions, 1273 Multivariate Mixture of Distributions, 1273 ordinary differential equations (ODEs), 1263 The D-method, 1269 example of Bayesian VAR modeling VARMAX procedure, 2058 example of Bayesian VECM modeling VARMAX procedure, 2065 example of causality testing VARMAX procedure, 2073 example of cointegration testing VARMAX procedure, 2061 example of multivariate GARCH modeling VARMAX procedure, 2175 example of restricted parameter estimation and testing VARMAX procedure, 2071 example of VAR modeling VARMAX procedure, 2051 example of VARMA modeling VARMAX procedure, 2144 example of vector autoregressive modeling with exogenous variables VARMAX procedure, 2066 example of vector error correction modeling VARMAX procedure, 2060 example, COUNTREG, 548 examples Cauchy distribution estimation, 1267 Monte Carlo simulation, 1266 Simulating from a Mixture of Distributions, 1273 Switching Regression example, 1269 systems of differential equations, 1263 examples of time intervals, 134 exogenous variables SYSLIN procedure, 1764 EXPAND procedure AGGREGATE method, 785 aggregation of time series, 765, 768 BY groups, 775 changing periodicity, 122 conversion methods, 783 discussed, 121 distribution of time series, 768 extrapolation, 781 frequency, 765 ID variables, 777, 779 interpolation methods, 783 interpolation of missing values, 122 JOIN method, 784 ODS graph names, 803 output data sets, 801 range of output observations, 780 SPLINE method, 783 STEP method, 785 time intervals, 779 transformation of time series, 770, 786 transformation operations, 786 EXPAND procedure and interpolation, 121 time intervals, 122 experimental design, 56 explained DIF function, 105 LAG function, 105 explosive differential equations, 1197 ordinary differential equations (ODEs), 1197 exponential trend curves, 2913 exponential smoothing, see smoothing models double exponential smoothing, 842 FORECAST procedure, 818, 842 single exponential smoothing, 842 triple exponential smoothing, 842 exponential trend, 2913 Extended Sample Autocorrelation Function (ESACF) method, 245 external forecasts, 2894 external forecasts, 2894 external sources forecasting models, 2713, 2816 Subject Index ✦ 3087 extrapolation EXPAND procedure, 781 Factored ARIMA, 2783, 2812, 2851 Factored ARIMA model specification, 2817 Factored ARIMA models forecasting models, 2696 specifying, 2696 factored model ARIMA model, 216 ARIMA procedure, 216 AUTOREG procedure, 334 FAME data files, see DATASOURCE procedure Fame data files, see SASEFAME engine Fame glue symbol named DOT SASEFAME engine, 2512 FAME Information Services Databases, see DATASOURCE procedure DATASOURCE procedure, 649 Fame Information Services Databases, see SASEFAME engine fast Fourier transform SPECTRA procedure, 1696 fatal error when reading from a Fame data base SASEFAME engine, 2501 FCMP procedure, 49 SAS functions, 49 features in SAS/ETS software econometrics, 23 FIML estimation method, see full information maximum likelihood Financial Functions PROBDF Function, 162 financial functions, 51 finishing the Fame CHLI SASEFAME engine, 2501 finite Fourier transform SPECTRA procedure, 1690 finite memory forecasts ARIMA procedure, 261 first-stage R squares, 1137 fitting forecasting models, 2648 fitting forecasting models, 2648 fixed effects model one-way, 1332 two-way, 1333 fixed rate mortgage, see LOAN procedure LOAN procedure, 872 flows contrasted with stock variables, 768 for first-order autocorrelation Durbin-Watson test, 329 for higher-order autocorrelation Durbin-Watson test, 329 for interleaved time series ID variables, 80 for multiple selections control key, 2626 for nonlinear models instrumental variables, 1134 for selection of state space models canonical correlation analysis, 1718, 1741 for time series data ID variables, 67 forecast combination, 2819, 2894 FORECAST command, 2774 forecast data set, see output data set forecast horizon, 2803, 2878 forecast options, 2823 FORECAST procedure ADDWINTERS method, 846 automatic forecasting, 818 autoregressive models, 840 BY groups, 838 confidence limits, 851 data periodicity, 839 data requirements, 850 exponential smoothing, 818, 842 forecasting, 818 Holt two-parameter exponential smoothing, 818, 847 ID variables, 839 missing values, 839 output data sets, 850, 852 predicted values, 851 residuals, 851 seasonal forecasting, 843, 846 seasonality, 848 smoothing weights, 847 STEPAR method, 840 stepwise autoregression, 818, 840 time intervals, 839 time series methods, 830 time trend models, 828 Winters method, 818, 843 FORECAST procedure and interleaved time series, 80, 81 Forecast Studio, 51 forecasting, 2892 ARIMA procedure, 260, 263 FORECAST procedure, 818 MODEL procedure, 1169 STATESPACE procedure, 1716, 1745 VARMAX procedure, 2122 Forecasting menusystem, 46 forecasting models adjustments, 2750 3088 ✦ Subject Index ARIMA models, 2693 automatic generation, 2624 automatic selection, 2687 changes in trend, 2758 combination models, 2710 comparing, 2733, 2833 custom models, 2700 developing, 2645, 2804 dynamic regressors, 2751 editing selection list, 2706 external sources, 2713, 2816 Factored ARIMA models, 2696 fitting, 2648 interventions, 2755 level shifts, 2760 linear trend, 2742 predictor variables, 2739 reference, 2736 regressors, 2747 seasonal dummy variables, 2767 selecting from a list, 2685 smoothing models, 2690, 2897 sorting, 2732, 2809 specifying, 2681 transfer functions, 2910 trend curves, 2743 forecasting of Bayesian vector autoregressive models VARMAX procedure, 2140 forecasting process, 2617 forecasting project, 2638 managing, 2827 Project Management window, 2639 saving and restoring, 2640 sharing, 2644 forecasts, 2665 confidence limits, 2664 external, 2894 plotting, 2664 producing, 2632, 2852 form of state space models, 1716 formats date values, 70, 142 datetime values, 70, 146 recommended for time series ID, 71 time values, 146 formats for date values, 70 datetime values, 70 formatting variables DATASOURCE procedure, 589 forms of data set, 2634 Fourier coefficients SPECTRA procedure, 1701 Fourier transform SPECTRA procedure, 1690 fractional operators, 796 FREQ procedure, 49 crosstabulations, 49 frequency changing by interpolation, 122, 765, 778 EXPAND procedure, 765 of time series observations, 84, 122 SPECTRA procedure, 1700 time intervals and, 84, 122 frequency of data, see time intervals DATASOURCE procedure, 568 frequency of input data DATASOURCE procedure, 583 frequency option SASEHAVR engine, 2556 from interleaved form transposing time series, 117 from standard form transposing time series, 120 full information maximum likelihood FIML estimation method, 1762 MODEL procedure, 1069 SYSLIN procedure, 1772, 1797 Fuller Battese variance components, 1340 Fuller’s modification to LIML SYSLIN procedure, 1802 functions, 51 date values, 147 datetime values, 147 lag functions, 1209 mathematical functions, 1208 random-number functions, 1208 time intervals, 147 time values, 147 functions across time MODEL procedure, 1209 functions for calendar calculations, 94, 147 time intervals, 97, 147 functions of parameters nonlinear models, 1031 G4 inverse, 1035 GARCH in mean model, see GARCH-M model GARCH model AUTOREG procedure, 319 conditional t distribution, 380 covariance estimates, 353 Subject Index ✦ 3089 generalized autoregressive conditional heteroscedasticity, 319 heteroscedasticity models, 362 initial values, 361 starting values, 350 t distribution, 380 GARCH-M model, 380 AUTOREG procedure, 342 GARCH in mean model, 380 Gauss-Marquardt method ARIMA procedure, 253 AUTOREG procedure, 373 Gauss-Newton method, 1077 Gaussian distribution MODEL procedure, 1030 General Form Equations Jacobi method, 1191 Seidel method, 1191 generalized autoregressive conditional heteroscedasticity, see GARCH model generalized Durbin-Watson tests AUTOREG procedure, 329 generalized least squares PANEL procedure, 1348 generalized least squares estimator of the covariance matrix, 1071 generalized least-squares Yule-Walker method as, 374 Generalized Method of Moments V matrix, 1062, 1067 generalized method of moments details, 1061 example, 1104, 1155, 1158–1160 generating models, 2789 Generic Cashflow, 3008 generic variables DATASOURCE procedure, 594 GFS data files DATASOURCE procedure, 654 giving dates to time series data, 67 Global Insight data files DATASOURCE procedure, 637, 638 Global Insight DRI data files, see DATASOURCE procedure DATASOURCE procedure, 637 global statements, 50 GLUE symbol SASEFAME engine, 2507 GMM simulated method of moments, 1066 SMM, 1066 GMM in Panel: Arellano and Bond’s Estimator Panel GMM, 1352 goal seeking MODEL procedure, 1187 goal seeking problems, 1125 Godfrey Lagrange test autocorrelation tests, 1108 Godfrey’s test, 353 autocorrelation tests, 353 Goldfeld Quandt Switching Regression Model example, 1269 goodness of fit, see statistics of fit goodness-of-fit statistics, see statistics of fit, 2872, see statistics of fit government finance statistics data files, see DATASOURCE procedure gradient of the objective function, 1092, 1093 Granger causality test VARMAX procedure, 2136 graphics SAS/GRAPH software, 52 graphs, see Model Viewer, see Time Series Viewer grid search MODEL procedure, 1086 Hannan-Quinn information criterion AUTOREG procedure, 383 Hausman specification test, 1129 MODEL procedure, 1129 Haver Analytics data files DATASOURCE procedure, 651 Haver data files, see SASEHAVR engine Haver Information Services Databases, see SASEHAVR engine HCCME 2SLS, 1107 HCCME 3SLS, 1107 HCCME = hccme=0, 1361 PANEL procedure, 1361 HCCME OLS, 1105 HCCME SUR, 1106 hccme=0 HCCME =, 1361 help system, 22 Henze-Zirkler test, 1098 normality tests, 1098 heteroscedastic errors, 1061 heteroscedastic extreme value model MDC procedure, 925, 952 Heteroscedasticity Engle’s Lagrange Multiplier test for, 403 Lee and King’s test for, 403 Portmanteau Q test for, 402 Wong and Li’s test for, 404 heteroscedasticity, 997, 1100 AUTOREG procedure, 334 3090 ✦ Subject Index Lagrange multiplier test, 364 testing for, 334 Heteroscedasticity Corrected Covariance Matrices, 1361 heteroscedasticity models, see GARCH model constrained estimation, 363 covariates, 362, 1437 link function, 363 heteroscedasticity tests Breusch-Pagan test, 1100 Lagrange multiplier test, 364 White’s test, 1100 Heteroscedasticity-Consistent Covariance Matrix Estimation , 1105 higher order differencing, 108 higher order differences DIF function, 108 higher order sums summation, 113 Hildreth-Lu AR initial conditions, 1141 Hildreth-Lu method AUTOREG procedure, 375 histograms, see CHART procedure hold-out sample, 2803 hold-out samples, 2736 Holt smoothing model, see linear exponential smoothing Holt two-parameter exponential smoothing FORECAST procedure, 818, 847 Holt-Winters Method, see Winters Method Holt-Winters method, see Winters method homoscedastic errors, 1100 HTML creating from Model Viewer, 2846 creating from Time Series Viewer, 2886 hyperbolic trend curves, 2913 hyperbolic trend, 2913 ID groups MDC procedure, 936 ID values for time intervals, 99 ID variable, see time ID variable DATASOURCE procedure, 593 ID variable for time series data, 67 ID variables, 2623 ARIMA procedure, 263 DATE, 71 DATETIME, 71 EXPAND procedure, 777, 779 for interleaved time series, 80 for time series data, 67 FORECAST procedure, 839 PANEL procedure, 1321 SIMLIN procedure, 1665 sorting by, 72 STATESPACE procedure, 1734 TSCSREG procedure, 1927 X11 procedure, 2240, 2242 X12 procedure, 2311 ID variables for cross-sectional dimensions, 79 interleaved time series, 80 time series cross-sectional form, 79 IGARCH model AUTOREG procedure, 342 IMF balance of payment statistics DATASOURCE procedure, 653 IMF data files, see DATASOURCE procedure IMF direction of trade statistics DATASOURCE procedure, 653 IMF Economic Information System data files DATASOURCE procedure, 652 IMF government finance statistics DATASOURCE procedure, 654 IMF International Financial Statistics DATASOURCE procedure, 571 IMF international financial statistics DATASOURCE procedure, 652 IML, see SAS/IML software IML Studio software, 55 impact multipliers SIMLIN procedure, 1667, 1672 impulse function intervention model and, 220 impulse response function VARMAX procedure, 2090, 2111 impulse response matrix of a state space model, 1748 in SAS data sets time series, 2608 in standard form output data sets, 83 incrementing by intervals date values, 98 incrementing dates INTNX function, 98 incrementing dates by time intervals, 97, 98 Independence BDS test for, 351, 396 Rank Version of von Neumann Ratio test for, 397 Subject Index ✦ 3091 Rank version of von Neumann ratio test for, 360 Runs test for, 355, 396 Turning Point test for, 359, 396 independent variables, see predictor variables indexing OUT= data set, 593 indexing the OUT= data set DATASOURCE procedure, 582, 625 inequality restriction linear models, 692 nonlinear models, 1024, 1049, 1126 infinite memory forecasts ARIMA procedure, 261 infinite order AR representation VARMAX procedure, 2090 infinite order MA representation VARMAX procedure, 2090, 2111 informats date values, 69, 140 datetime values, 69, 140 time values, 140 informats for date values, 69 datetime values, 69 initial values, 361, 941 GARCH model, 361 initializations smoothing models, 2898 initializing lags MODEL procedure, 1212 SIMLIN procedure, 1670 innovation vector of a state space model, 1717 input block COMPUTAB procedure, 489 input data set, 2619, 2801 input data sets ENTROPY procedure, 707 MODEL procedure, 1154 input file DATASOURCE procedure, 582, 583 input matrix of a state space model, 1717 input series ARIMA procedure, 216 INPUT variables X12 procedure, 2313 inputs, see predictor variables installment loans, see LOAN procedure instrumental regression, 1059 instrumental variables, 1059 choice of, 1134 for nonlinear models, 1134 number to use, 1135 SYSLIN procedure, 1764 instruments, 1058 INTCK function calendar calculations and, 103 counting time intervals, 101 defined, 98 INTCK function and time intervals, 98, 101 interaction effects ARIMA procedure, 221 interest rates LOAN procedure, 894 interim multipliers SIMLIN procedure, 1663, 1668, 1671, 1672 interleaved data set, 2636 interleaved form output data sets, 82 interleaved form of time series data set, 80 interleaved time series and _TYPE_ variable, 80, 81 combined with cross-sectional dimension, 81 defined, 80 FORECAST procedure and, 80, 81 ID variables for, 80 plots of, 89 Internal Rate of Return, 3050 internal rate of return LOAN procedure, 896 internal variables MODEL procedure, 1203 international financial statistics data files, see DATASOURCE procedure International Monetary Fund data files, see DATASOURCE procedure DATASOURCE procedure, 652 interpolation between levels and rates, 123 between stocks and flows, 123 EXPAND procedure and, 121 of missing values, 122, 767 time series data, 123 to higher frequency, 122 to lower frequency, 122 interpolation methods EXPAND procedure, 783 interpolation of missing values, 122 time series data, 121, 122, 767 interpolation of missing values EXPAND procedure, 122 interpolation of time series . values, 98 incrementing dates INTNX function, 98 incrementing dates by time intervals, 97 , 98 Independence BDS test for, 351, 396 Rank Version of von Neumann Ratio test for, 397 Subject Index ✦ 3 091 Rank. 2886 hyperbolic trend curves, 291 3 hyperbolic trend, 291 3 ID groups MDC procedure, 93 6 ID values for time intervals, 99 ID variable, see time ID variable DATASOURCE procedure, 593 ID variable for time. representation VARMAX procedure, 2 090 , 2111 informats date values, 69, 140 datetime values, 69, 140 time values, 140 informats for date values, 69 datetime values, 69 initial values, 361, 94 1 GARCH model, 361 initializations smoothing