SAS/ETS 9.22 User''''s Guide 313 ppt

invoking,2773 plots,2647 saving graphs and tables,2857,2859 time series data,86 Time Series Viewer procedure plotting time series,86 time trend models FORECAST procedure,828 Time Value A

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invoking,2773

plots,2647

saving graphs and tables,2857,2859

time series data,86

Time Series Viewer procedure

plotting time series,86

time trend models

FORECAST procedure,828

Time Value Analysis,3048

time values

defined,69

formats,146

functions,147

informats,140

syntax for,69

time variable,1124

MODEL procedure,1124

time variables

computing from datetime values,97

introduced,94

TIMEPLOT procedure,50,92

TIMESERIES procedure

BY groups,1860

ODS graph names,1899

to higher frequency

interpolation,122

to lower frequency

interpolation,122

to SAS/ETS software

menu interfaces,46,47

to standard form

transposing time series,117,119

tobit

QLIM Procedure,1422

Toeplitz matrix

AUTOREG procedure,371

total multipliers

SIMLIN procedure,1664,1668,1671,1672

trading-day component

X11 procedure,2228,2234

transfer function model

ARIMA procedure,216,221,254

denominator factors,222

numerator factors,221

transfer functions,2910

forecasting models,2910

transformation of

time series data,770,786

transformation of time series

EXPAND procedure,770,786

transformations,2866

Box Cox,2895

Box Cox transformation,2895

log,2895 log transformation,2895 logistic,2895

square root,2895 square root transformation,2895 transformed models

predicted values,1111 transition equation

of a state space model,1717 transition matrix

of a state space model,1717 TRANSPOSE procedure,50,117,119,120,124 transposing SAS data sets,50

TRANSPOSE procedure and transposing time series,117 transposing

SAS data sets,50 time series data,117,119 transposing SAS data sets, see TRANSPOSE

procedure transposing time series cross-sectional dimensions,119 from interleaved form,117 from standard form,120

to standard form,117,119 TRANSPOSE procedure and,117 trend changes

specifying,2758 trend curves,2912 cubic,2912 exponential,2913 forecasting models,2743 hyperbolic,2913 linear,2912 logarithmic,2913 logistic,2912 power curve,2913 predictor variables,2912 quadratic,2912

specifying,2743 trend cycle component X11 procedure,2228,2234 trend test,2916

TRIM operator,792 TRIMLEFT operator,792 TRIMRIGHT operator,792 triple exponential smoothing, see exponential

smoothing troubleshooting estimation convergence problems MODEL procedure,1080

troubleshooting simulation problems MODEL procedure,1192 true interest rate

LOAN procedure,896

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Subject Index F 3113

Truncated Regression Models

QLIM procedure,1449

trust region

optimization methods,362,524,941

trust region method,362,524,941

TSCSREG procedure

BY groups,1927

estimation techniques,1922

ID variables,1927

output table names,1930

panel data,1919

TSCSREG procedure and

time series cross sectional form,80

time series cross-sectional form,1919

TSVIEW command,2773

Turning Point test,359,396

Turning Point test for

Independence,359,396

two-stage least squares,1059

2SLS estimation method,1762

SYSLIN procedure,1767,1796

two-step full transform method

two-way

fixed effects model,1333

random effects model,1342

two-way fixed effects model

PANEL procedure,1333

two-way fixed-effects model,1333

two-way random effects model

two-way random-effects model,1342

type of input data file

DATASOURCE procedure,582

_TYPE_ variable

and interleaved time series,80,81

overlay plots,90

TYPE=EST data set

SIMLIN procedure,1667

types of loans

LOAN procedure,872

Types of Tobit Model

QLIM procedure,1447

U.S Bureau of Economic Analysis data files

U.S Bureau of Labor Statistics data files

UCM procedure

BY groups,1952

ODS graph names,2006

ODS Graphics,1946

ODS table names,2003

parameters,1949–1960,1962–1972 state space model,1979

Statistical Graphics,1992 syntax,1943

table names,2003 time intervals,1959 unattended mode,2774 unconditional forecasts ARIMA procedure,261 unconditional least squares

AR initial conditions,1141

MA Initial Conditions,1142 uncorrected sum of squares statistics of fit,2917 underlying model smoothing models,2897 Uniform Periodic Equivalent,3052 unit root

Dickey-Fuller test,162

of a time series,158 significance probabilities,162 testing for,158

unit roots KPSS test,393 Phillips-Perron test,355–357,389 univariate autoregression,1143 univariate model diagnostic checks VARMAX procedure,2149 univariate moving average models,1149 UNIVARIATE procedure,50,1267 descriptive statistics,50 unlinking viewer windows,2723 unrestricted vector autoregression,1145 use with SAS/ETS procedures

time intervals,85 used for state space modeling Kalman filter,1718 used to select state space models Akaike information criterion,1739 vector autoregressive models,1738 Yule-Walker estimates,1738 Using CROSSLIST= option to create a view SASEFAME engine,2502

Using Fame expressions and Fame functions in an

INSET SASEFAME engine,2502 Using INSET= option with the CROSSLIST=

option to create a view SASEFAME engine,2502 Using INSET= option with the KEEPLIST=

clause to create a view SASEFAME engine,2502 Using KEEPLIST clause to create a view SASEFAME engine,2502

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using models to forecast

Using RANGE= option to create a view

SASEFAME engine,2502

using solution modes

Using WHERE clause with INSET= option to

create a view

Using WILDCARD= option to create a view

V matrix

Generalized Method of Moments,1062,1067

VALIDVARNAME=ANY, SAS option statement

SASEFAME engine,2512,2517

variable list

variables in model program

variance components

Fuller Battese,1340

Nerlove,1342

Wallace Hussain,1341

Wansbeek Kapteyn’s,1340

VARMAX procedure

Akaike Information Criterion,2148

asymptotic distribution of impulse response

functions,2135,2143

asymptotic distribution of the parameter

estimation,2143

Bayesian vector autoregressive models,2096,

2139

cointegration,2150

cointegration testing,2094,2154

common trends,2150

common trends testing,2096,2151

computational details,2192

confidence limits,2179

convergence problems,2192

covariance stationarity,2174

CPU requirements,2193

decomposition of prediction error covariance,

2089,2125

Dickey-Fuller test,2094

differencing,2086

dynamic simultaneous equation models,2108

example of Bayesian VAR modeling,2058

example of Bayesian VECM modeling,2065

example of causality testing,2073

example of cointegration testing,2061

example of multivariate GARCH modeling,

2175

example of restricted parameter estimation and testing,2071

example of VAR modeling,2051 example of VARMA modeling,2144 example of vector autoregressive modeling with exogenous variables,2066 example of vector error correction modeling, 2060

forecasting,2122 forecasting of Bayesian vector autoregressive models,2140

Granger causality test,2136 impulse response function,2090,2111 infinite order AR representation,2090 infinite order MA representation,2090,2111 invertibility,2141

long-run relations testing,2163 memory requirements,2193 minimum information criteria method,2132 missing values,2104

multivariate GARCH Modeling,2099 multivariate model diagnostic checks,2148 ODS graph names,2191

Output Data Sets,2178 partial autoregression coefficient,2091,2128 partial canonical correlation,2091,2131 partial correlation,2129

prediction error covariance,2089,2122,2124 sample cross covariances,2089,2127 sample cross-correlations,2089,2127 state-space representation,2105 stationarity,2133,2141

tentative order selection,2127 time intervals,2084

univariate model diagnostic checks,2149 vector autoregressive models,2133 vector autoregressive models with exogenous variables ,2136

vector autoregressive moving-average models,2104,2141

vector error correction models,2098,2153 weak exogeneity testing,2165

Yule-Walker estimates,2092 vector autoregressive models,1148 used to select state space models,1738 VARMAX procedure,2133

vector autoregressive models with exogenous

variables VARMAX procedure,2136 vector autoregressive moving-average models VARMAX procedure,2104,2141 vector error correction models

VARMAX procedure,2098,2153 vector moving average models,1151

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Subject Index F 3115

viewing a Fame database, see SASEFAME engine

viewing a Haver database, see SASEHAVR engine

viewing time series,2647

Wald test

linear hypotheses,694

nonlinear hypotheses,962,1056,1128,1458

Wallace Hussain

variance components,1341

Wansbeek Kapteyn’s

variance components,1340

weak exogeneity testing

VARMAX procedure,2165

_WEIGHT_ variable

weights, see smoothing weights

WHERE in the DATA step

WHERE statement

subsetting data,51

white noise test

SPECTRA procedure,1699,1702

white noise test of the residuals,237

white noise test of the series,235

White’s test,1100

heteroscedasticity tests,1100

widths of

time intervals,100,780

WINTERS method

seasonal forecasting,843

Winters Method,2906,2907

Holt-Winters Method,2906

smoothing models,2906,2907

Winters method

FORECAST procedure,818,843

Holt-Winters method,847

Wong and Li’s test,404

Wong and Li’s test for

Heteroscedasticity,404

X-11 ARIMA methodology

X11 procedure,2252

X-11 seasonal adjustment method, see X11

procedure

X-11-ARIMA seasonal adjustment method, see

X11 procedure

X-12 seasonal adjustment method, see X12

procedure

X-12-ARIMA seasonal adjustment method, see

X12 procedure

X11 procedure

BY groups,2240

Census X-11 method,2228

Census X-11 methodology,2253

data requirements,2258 differences with X11ARIMA/88,2252

ID variables,2240,2242 irregular component,2228,2234 model selection for X-11-ARIMA method, 2262

output data sets,2265,2266 output table names,2279 printed output,2268 seasonal adjustment,2228,2234 seasonal component,2228 trading-day component,2228,2234 trend cycle component,2228,2234 X-11 ARIMA methodology,2252 X-11 seasonal adjustment method,2228 X-11-ARIMA seasonal adjustment method, 2228

X12 procedure

BY groups,2311 Census X-12 method,2296

ID variables,2311 INPUT variables,2313 ODS Graphics,2308 seasonal adjustment,2297 seasonal component,2297 X-12 seasonal adjustment method,2296 X-12-ARIMA seasonal adjustment method, 2296

year-over-year percent change calculations,109 yearly averages

percent change calculations,110 Yule-Walker

AR initial conditions,1141 Yule-Walker equations

AUTOREG procedure,371 STATESPACE procedure,1738 Yule-Walker estimates

AUTOREG procedure,371 used to select state space models,1738 VARMAX procedure,2092

Yule-Walker method as generalized least-squares,374 Zellner estimation, see seemingly unrelated

regression Zellner’s two-stage method PANEL procedure,1349 zooming graphs,2721

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Syntax Index

2SLS option

FIT statement (MODEL),1036,1059

PROC SYSLIN statement,1783

3SLS option

FIT statement (MODEL),1036,1061,1160

A option

PROC SPECTRA statement,1693

A= option

FIXED statement (LOAN),885

ABORT,1215

ABS function,1208

ACCEPTDEFAULT option

AUTOMDL statement (X12),2322

ACCUMULATE= option

FORECAST statement (ESM),733

ID statement (ESM),736

ID statement (SIMILARITY),1599

ID statement (TIMESERIES),1865

INPUT statement (SIMILARITY),1602

TARGET statement (SIMILARITY),1605

VAR statement (TIMESERIES),1875

ADDITIVE option

MONTHLY statement (X11),2241

QUARTERLY statement (X11),2246

ADDMAXIT= option

MODEL statement (MDC),939

ADDRANDOM option

ADDVALUE option

ADF= option

ARM statement (LOAN),890

ADJMEAN

SPECTRA statement (TIMESERIES),1870

ADJMEAN option

ADJSMMV option

FIT statement (MODEL),1034

ADJUST statement

X12 procedure,2314

ADJUSTFREQ= option

AGGMODE=RELAXED option

LIBNAME statement (SASEHAVR),2561

AGGMODE=STRICT option

LIBNAME statement (SASEHAVR),2561

ALIGN= option FORECAST statement (ARIMA),147,241

ID statement (ENG),147

ID statement (ESM),147,737

ID statement (HPF),147

ID statement (HPFDIAGNOSE),147

ID statement (HPFEVENTS),147

ID statement (SIMILARITY),147,1600

ID statement (TIMESERIES),147,1866

ID statement (UCM),147,1959

ID statement (VARMAX),147,2084 PROC DATASOURCE statement,147,582 PROC EXPAND statement,147,773,779 PROC FORECAST statement,147,834 TIMEID procedure,1830

ALL option COMPARE statement (LOAN),892 MODEL statement (AUTOREG),351 MODEL statement (MDC),940 MODEL statement (PDLREG),1403 MODEL statement (SYSLIN),1787 PROC SYSLIN statement,1784 TEST statement (ENTROPY),694 TEST statement (MDC),947 TEST statement (MODEL),1056 TEST statement (PANEL),1329 TEST statement (QLIM),1441 ALPHA option

SPECTRA statement (TIMESERIES),1870 ALPHA= option

FORECAST statement (ARIMA),241 FORECAST statement (ESM),733 FORECAST statement (UCM),1958 IDENTIFY statement (ARIMA),231 MODEL statement,1517

MODEL statement (SYSLIN),1787 OUTLIER statement (ARIMA),240 OUTPUT statement (VARMAX),2101 PROC FORECAST statement,834 PROC SYSLIN statement,1783 ALPHA=option

OUTLIER statement (UCM),1965 ALPHACLI= option

OUTPUT statement (AUTOREG),367 OUTPUT statement (PDLREG),1405 ALPHACLM= option

OUTPUT statement (AUTOREG),367 OUTPUT statement (PDLREG),1405

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ALPHACSM= option

OUTPUT statement (AUTOREG),368

ALTPARM option

ESTIMATE statement (ARIMA),235,257

ALTW option

AMOUNT= option

AMOUNTPCT= option

AOCV= option

OUTLIER statement (X12),2325

APCT= option

%AR macro,1147,1148

AR option

IRREGULAR statement (UCM),1962

AR= option

BOXCOXAR macro,155

DFTEST macro,159

ESTIMATE statement (ARIMA),238

LOGTEST macro,160

PROC FORECAST statement,834

ARCHTEST option

MODEL statement (AUTOREG),351

ARCOS function,1208

ARIMA procedure,224

syntax,224

ARIMA procedure, PROC ARIMA statement

PLOT option,228

ARIMA statement

X11 procedure,2237

X12 procedure,2314

ARM statement

LOAN procedure,889

ARMACV= option

AUTOMDL statement (X12),2322

ARMAX= option

PROC STATESPACE statement,1731

ARSIN function,1208

ARTEST= option

MODEL statement (PANEL),1324

ASCII option

PROC DATASOURCE statement,582

ASTART= option

AT= option

COMPARE statement (LOAN),893

ATAN function,1208

ATOL= option

ATTRIBUTE statement

AUTOMDL statement

X12 procedure,2320 AUTOREG procedure,342 syntax,342

AUTOREG procedure, AUTOREG statement,347 AUTOREG statement

UCM procedure,1949 AUXDATA= option PROC X12 statement,2307

B option ARM statement (LOAN),891 BACK= option

ESTIMATE statement (UCM),1955 FORECAST statement (ARIMA),241 FORECAST statement (UCM),1958 OUTPUT statement (VARMAX),2101 PROC ESM statement,730

PROC STATESPACE statement,1733 BACKCAST= option

ARIMA statement (X11),2237 BACKLIM= option

ESTIMATE statement (ARIMA),238 BACKSTEP option

MODEL statement (AUTOREG),360 BALANCED option

AUTOMODL statement (X12),2322 BALLOON statement

LOAN procedure,889 BALLOONPAYMENT= option BALLOON statement (LOAN),889 BANDOPT= option

MODEL statement (PANEL),1324 BASE = option

PROC PANEL statement,1320 BCX option

MODEL statement (QLIM),1438 BDS option

MODEL statement (AUTOREG),351 BESTCASE option

BI option COMPARE statement (LOAN),893 BLOCK option

PROC MODEL statement,1022,1227 BLOCKSEASON statement

UCM procedure,1950 BLOCKSIZE= option BLOCKSEASON statement (UCM),1951 BLUS= option

OUTPUT statement (AUTOREG),368 BOUNDARYALIGN= option

ID statement (TIMESERIES),1867 BOUNDS statement

COUNTREG procedure,525

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Syntax Index F 3119

ENTROPY procedure,688

MDC procedure,935

QLIM procedure,1432

BOXCOXAR

macro,155

macro variable,156

BP option

MODEL statement (PANEL),1324,1325

BREAKINTEREST option

BREAKPAYMENT option

BREUSCH= option

BSTART= option

BTOL= option

BTWNG option

BUYDOWN statement

LOAN procedure,892

BUYDOWNRATES= option

BUYDOWN statement (LOAN),892

BY statement

ARIMA procedure,231

COMPUTAB procedure,480

COUNTREG procedure,525

ESM procedure,733

EXPAND procedure,775

FORECAST procedure,838

MDC procedure,936

PDLREG procedure,1402

QLIM procedure,1433

SEVERITY procedure,1514

SIMILARITY procedure,1598

SIMLIN procedure,1664

SPECTRA procedure,1694

STATESPACE procedure,1734

SYSLIN procedure,1785

TIMEID procedure,1829

TIMESERIES procedure,1860

TSCSREG procedure,1927

UCM procedure,1952

VARMAX procedure,2080

X11 procedure,2240

X12 procedure,2311

C= option MODEL statement,1517 CANCORR option

PROC STATESPACE statement,1731 CAPS= option

ARM statement (LOAN),890 CAUCHY option

ERRORMODEL statement (MODEL),1030 CAUSAL statement

VARMAX procedure,2081 CDEC= option

PROC COMPUTAB statement,473 CDF= option

ERRORMODEL statement (MODEL),1031 CELL statement

COMPUTAB procedure,477 CENSORED option

ENDOGENOUS statement (QLIM),1435 MODEL statement (ENTROPY),691 CENTER

SPECTRA statement (TIMESERIES),1870 CENTER option

ARIMA statement (X11),2239 IDENTIFY statement (ARIMA),231 MODEL statement (AUTOREG),348 MODEL statement (VARMAX),2085 PROC SPECTRA statement,1693 CEV= option

OUTPUT statement (AUTOREG),368 CHAR option

COLUMNS statement (COMPUTAB),474 ROWS statement (COMPUTAB),476 CHARTS= option

MONTHLY statement (X11),2241 QUARTERLY statement (X11),2246 CHECK statement

X12 procedure,2315 CHECKBREAK option LEVEL statement (UCM),1964 CHICR= option

ARIMA statement (X11),2237 CHISQUARED option

ERRORMODEL statement (MODEL),1030 CHOICE= option

MODEL statement (MDC),937 CHOW= option

FIT statement (MODEL),1039,1131 MODEL statement (AUTOREG),352 CLAG option

LAG statement (PANEL),1323 CLAG statement

LAG statement (PANEL),1323 CLASS statement

MDC procedure,936

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CLEAR option

IDENTIFY statement (ARIMA),231

CLIMIT= option

FORECAST command (TSFS),2776

CMPMODEL options,1021

COEF option

MODEL statement (PDLREG),1403

COEF= option

HETERO statement (AUTOREG),363

COINTEG statement

VARMAX procedure,2082,2164

COINTTEST= option

MODEL statement (VARMAX),2094

COINTTEST=(JOHANSEN) option

COINTTEST=(JOHANSEN=(IORDER=)) option

MODEL statement (VARMAX),2095,2171

COINTTEST=(JOHANSEN=(NORMALIZE=))

option

COINTTEST=(JOHANSEN=(TYPE=)) option

COINTTEST=(SIGLEVEL=) option

COINTTEST=(SW) option

COINTTEST=(SW=(LAG=)) option

COINTTEST=(SW=(TYPE=)) option

COLLIN option

‘column headings’ option

COLUMNS statement (COMPUTAB),474

COLUMNS statement

COMPARE statement

LOAN procedure,892

COMPOUND= option

COMPRESS= option

TARGET statement (SIMILARITY),1605

syntax,470

CONDITIONAL

OUTPUT statement (QLIM),1439

CONST= option

BOXCOXAR macro,155

LOGTEST macro,161

CONSTANT= option

OUTPUT statement (AUTOREG),368 OUTPUT statement (PDLREG),1405 CONTROL,1254

CONTROL statement MODEL procedure,1029,1200 CONVERGE= option

ARIMA statement (X11),2238 ENTROPY procedure,687 ESTIMATE statement (ARIMA),238 FIT statement (MODEL),1041,1078,1086, 1088

MODEL statement (AUTOREG),360 MODEL statement (MDC),937 MODEL statement (PDLREG),1403 PROC SYSLIN statement,1783 SOLVE statement (MODEL),1054 CONVERT statement

EXPAND procedure,776 CONVERT= option

LIBNAME statement (SASEFAME),2504 COPULA= option

SOLVE statement (MODEL),1053 CORR option

FIT statement (MODEL),1039 MODEL statement (PANEL),1325 MODEL statement (TSCSREG),1928 CORR statement

TIMESERIES procedure,1861 CORRB option

ESTIMATE statement (MODEL),1032 FIT statement (MODEL),1040 MODEL statement,527 MODEL statement (AUTOREG),353 MODEL statement (MDC),941 MODEL statement (PANEL),1325 MODEL statement (PDLREG),1403 MODEL statement (SYSLIN),1787 MODEL statement (TSCSREG),1928 PROC COUNTREG statement,524 QLIM procedure,1431

CORROUT option PROC PANEL statement,1318 PROC QLIM statement,1431 PROC TSCSREG statement,1926 CORRS option

FIT statement (MODEL),1040 COS function,1208

COSH function,1208 COST option

ENDOGENOUS statement (QLIM),1436 COUNTREG procedure,521

syntax,521 COUNTREG procedure, CLASS statement,526 COUNTREG procedure, FREQ statement,526

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Syntax Index F 3121

COUNTREG procedure, WEIGHT statement,530

COV option

COV3OUT option

COVB option

ESTIMATE statement (MODEL),1032

MODEL statement,527

MODEL statement (PDLREG),1403

MODEL statement (SYSLIN),1787

MODEL statement (TSCSREG),1928

PROC COUNTREG statement,524

PROC STATESPACE statement,1732

QLIM procedure,1431

COVBEST= option

COVEST= option

QLIM procedure,1431

COVOUT option

PROC AUTOREG statement,346

PROC MDC statement,934

PROC PANEL statement,1318

PROC QLIM statement,1431

PROC SEVERITY statement,1511

PROC TSCSREG statement,1926

COVS option

CPEV= option

OUTPUT statement (AUTOREG),368

CRITERION= option

MODEL statement,1516

CROSS option

CROSSCORR statement

TIMESERIES procedure,1862

CROSSCORR= option

IDENTIFY statement (ARIMA),232

CROSSLIST= option

LIBNAME statement (SASEFAME),2507

CROSSPLOTS= option

PROC TIMESERIES statement,1857

CROSSVAR statement

TIMESERIES procedure,1875 CRSPLINKPATH= option

LIBNAME statement (SASECRSP),2409 CSPACE= option

PROC COMPUTAB statement,473 CSTART= option

PROC FORECAST statement,835 CUSIP= option

LIBNAME statement (SASECRSP),2407 CUSUM= option

OUTPUT statement (AUTOREG),368 CUSUMLB= option

OUTPUT statement (AUTOREG),368 CUSUMSQ= option

OUTPUT statement (AUTOREG),368 CUSUMSQLB= option

OUTPUT statement (AUTOREG),368 CUSUMSQUB= option

OUTPUT statement (AUTOREG),368 CUSUMUB= option

OUTPUT statement (AUTOREG),368 CUTOFF= option

SSPAN statement (X11),2249 CV= option

OUTLIER statement (X12),2324 CWIDTH= option

PROC COMPUTAB statement,473 CYCLE statement

UCM procedure,1952 DASILVA option

MODEL statement (PANEL),1325 MODEL statement (TSCSREG),1929 DATA Step

IF Statement,73 WHERE Statement,73 DATA step

DROP statement,74 KEEP statement,74 DATA= option

ENTROPY procedure,685 FIT statement (MODEL),1037,1154 FORECAST command (TSFS),2774,2775 IDENTIFY statement (ARIMA),232 PROC ARIMA statement,227 PROC AUTOREG statement,346 PROC COMPUTAB statement,472 PROC COUNTREG statement,523 PROC ESM statement,730

PROC EXPAND statement,773 PROC FORECAST statement,835 PROC MDC statement,934 PROC MODEL statement,1020 PROC PANEL statement,1318

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