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SAS/Ets 9.22 User's Guide 218. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 2162 F Chapter 32 The VARMAX Procedure Figure 32.56 Parameter Estimation with the ECTREND Option The VARMAX Procedure Variable y1 y2 Parameter Alpha Beta Estimates y1 -0.48015 0.12538 y2 0.98126 -0.25624 1 -3. 0. 24543 84748 AR Coefficients of Differenced Lag DIF Lag Variable y1 y2 1 y1 -0.72759 -0.77463 y2 0.38982 -0.55173 Model Parameter Estimates Standard Equation Parameter Estimate Error t Value Pr t Variable D_y1 CONST1 -3.24543 0.33022 1 EC AR1_1_1 -0.48015 0.04886 y1 t-1 AR1_1_2 0.98126 0.09984 y2 t-1 AR2_1_1 -0.72759 0.04623 -15.74 0.0001 D_y1 t-1 AR2_1_2 -0.77463 0.04978 -15.56 0.0001 D_y2 t-1 D_y2 CONST2 0.84748 0.35394 1 EC AR1_2_1 0.12538 0.05236 y1 t-1 AR1_2_2 -0.25624 0.10702 y2 t-1 AR2_2_1 0.38982 0.04955 7.87 0.0001 D_y1 t-1 AR2_2_2 -0.55173 0.05336 -10.34 0.0001 D_y2 t-1 Figure 32.56 can be reported as follows yt -0.48015 0.98126 -3.24543 0.12538 -0.25624 0.84748 yi t-1 J2 t-1 1 -0.72759 -0.77463 0.38982 -0.55173 yt-i ft The keyword EC in the Model Parameter Estimates table means that the ECTREND option is used for fitting the model. For fitting Case 3 proc varmax data simul2 model y1 y2 p 2 ecm rank 1 normalize y1 print estimates run Vector Error Correction Modeling F 2163 Figure 32.57 Parameter Estimation without the ECTREND Option The VARMAX Procedure Parameter Alpha Beta Estimates Variable yi y2 yi -0.46421 0.95103 y2 0.17535 -0.35923 AR Coefficients of Differenced Lag DIF Lag Variable y1 y2 1 y1 -0.74052 -0.76305 y2 0.34820 -0.51194 Model Parameter Estimates Equation Parameter Estimate Standard Error t Value Pr t Variable D_y1 CONST1 -2.60825 1.32398 -1.97 0.0518 1 AR1_1_1 -0.46421 0.05474 y1 t-1 AR1_1_2 0.95103 0.11215 y2 t-1 AR2_1_1 -0.74052 0.05060 -14.63 0.0001 D_y1 t-1 AR2_1_2 -0.76305 0.05352 -14.26 0.0001 D_y2 t-1 D_y2 CONST2 3.43005 1.39587 2.46 0.0159 1 AR1_2_1 0.17535 0.05771 y1 t-1 AR1_2_2 -0.35923 0.11824 y2 t-1 AR2_2_1 0.34820 0.05335 6.53 0.0001 D_y1 t-1 AR2_2_2 -0.51194 0.05643 -9.07 0.0001 D_y2 t-1 Figure 32.57 can be reported
