TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 38

SAS/Ets User's Guide 38. 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 | 362 F Chapter 8 The AUTOREG Procedure METHOD value requests the type of estimates to be computed. The values of the METHOD option are as follows METHOD ML specifies maximum likelihood estimates. METHOD ULS specifies unconditional least squares estimates. METHOD YW specifies Yule-Walker estimates. METHOD ITYW specifies iterative Yule-Walker estimates. If the GARCH or LAGDEP option is specified the default is METHOD ML. Otherwise the default is METHOD YW. NOMISS requests the estimation to the first contiguous sequence of data with no missing values. Otherwise all complete observations are used. OPTMETHOD QN TR specifies the optimization technique when the GARCH or heteroscedasticity model is estimated. The OPTMETHOD QN option specifies the quasi-Newton method. The OPTMETHOD TR option specifies the trust region method. The default is OPTMETHOD QN. HETERO Statement The HETERO statement specifies variables that are related to the heteroscedasticity of the residuals and the way these variables are used to model the error variance of the regression. The syntax of the HETERO statement is HETERO variables options The heteroscedastic regression model supported by the HETERO statement is yt xt ft et et N 0 ot2 ot o 2ht ht l z t q The HETERO statement specifies a model for the conditional variance ht. The vector zt is composed of the variables listed in the HETERO statement q is a parameter vector and l is a link function that depends on the value of the LINK option. In the printed output HET0 represents the estimate of sigma while HET1 - HET n are the estimates of parameters in the q vector. The keyword XBETA can be used in the variables list to refer to the model predicted value x0t ft. If XBETA is specified in the variables list other variables in the HETERO statement will be ignored. In addition XBETA cannot be specified in the GARCH process. HETERO Statement F 363 For heteroscedastic regression models without GARCH effects the errors et are assumed to be uncorrelated the

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• Hướng dẫn sử dụng SAS ETS
• các mô hình phân tích tài chính
• báo cáo tài chính
• phân tích đầu tư
• phân tích tính khả dụng các khoản đầu tư