TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 208

SAS/Ets User's Guide 208. 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 | 2062 F Chapter 32 The VARMAX Procedure Figure Dickey-Fuller Tests and Cointegration Rank Test The VARMAX Procedure Unit Root Test Variable Type Rho Pr Rho Tau Pr Tau y1 y2 Zero Mean Single Mean Trend Zero Mean Single Mean Trend H0 Rank r H1 Rank r Cointegration Rank Eigenvalue Trace Test Using Trace 5 Critical Drift Value in ECM Drift in Process 0 1 0 1 NOINT Constant In Dickey-Fuller tests the second column specifies three types of models which are zero mean single mean or trend. The third column Rho and the fifth column Tau are the test statistics for unit root testing. Other columns are their p-values. You can see that both series have unit roots. For a description of Dickey-Fuller tests see the section PROBDF Function for Dickey-Fuller Tests on page 162 in Chapter 5 SAS Macros and Functions. In the cointegration rank test the last two columns explain the drift in the model or process. Since the NOINT option is specified the model is yt nyt-1 1 yt-1 t The column Drift In ECM means there is no separate drift in the error correction model and the column Drift In Process means the process has a constant drift before differencing. H0 is the null hypothesis and H1 is the alternative hypothesis. The first row tests r 0 against r 0 the second row tests r 1 against r 1. The Trace test statistics in the fourth column are computed by T Pk r 1 A where T is the available number of observations and A is the eigenvalue in the third column. By default the critical values at 5 significance level are used for testing. You can compare the test statistics and critical values in each row. There is one cointegrated process in this example since the Trace statistic for testing r 0 against r 0 is greater than the critical value but the Trace statistic for testing r 1 against r 1 .

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• Hướng dẫn sử dụng SAS ETS
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• báo cáo tài chính
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