TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 198

SAS/Ets User's Guide 198. 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 | 1962 F Chapter 31 The UCM Procedure The following statement specifies an ARMA 1 1 x 1 1 12 model. It also fixes the coefficient of the first-order seasonal moving average polynomial to . The other coefficients and the white noise variance are estimated using the data. irregular p 1 sp 1 q 1 sq 1 s 12 sma noest sma AR 01 02 .0p lists the starting values of the coefficients of the nonseasonal autoregressive polynomial 0 B 1 01B . 0p Bp where the order p is specified in the P option. The coefficients 0i must define a stationary autoregressive polynomial. MA 01 O2 . 0q lists the starting values of the coefficients of the nonseasonal moving average polynomial 0 B 1 - 01B - . - 0qBq where the order q is specified in the Q option. The coefficients hi must define an invertible moving average polynomial. NOEST VARIANCE AR SAR MA SMA fixes the values of the ARMA parameters and the value of the white noise variance to those specified in the AR SAR MA SMA or VARIANCE options. P integer specifies the order of the nonseasonal autoregressive polynomial. The order can be any nonnegative integer the default value is 0. In practice the order is a small integer such as 1 2 or 3. Q integer specifies the order of the nonseasonal moving average polynomial. The order can be any nonnegative integer the default value is 0. In practice the order is a small integer such as 1 2 or 3. S integer specifies the season length used during the specification of the seasonal autoregressive or seasonal moving average polynomial. The season length can be any positive integer for example S 4 might be an appropriate value for a quarterly series. The default value is S 1. SAR 1 2 . P lists the starting values of the coefficients of the seasonal autoregressive polynomial Bs 1 - 1Bs - . - PBsP where the order P is specified in the SP option and the season length s is specified in the S option. The coefficients i must define a stationary autoregressive polynomial. LEVEL Statement F 1963 SMA 01 02 . e .

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