TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 211

SAS/Ets User's Guide 211. 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 | 2092 F Chapter 32 The VARMAX Procedure addition when the GARCH statement is specified this option prints the roots of the GARCH characteristic polynomials to check covariance stationarity for the GARCH process. YW prints Yule-Walker estimates of the preliminary autoregressive model for the dependent endogenous variables. The coefficient matrices are printed using the maximum order of the autoregressive process. Some examples of the PRINT option are as follows model y1 y2 p 1 print covy 10 corry 10 model y1 y2 p 1 print parcoef pcancorr pcorr model y1 y2 p 1 print impulse 8 decompose 6 covpe 6 model y1 y2 p 1 print dynamic roots yw Lag Specification Options P number P number-list specifies the order of the vector autoregressive process. Subset models of vector autoregressive orders can be specified by listing the desired set of lags. For example you can specify the P 1 3 4 option. The P 3 option is equivalent to the P 1 2 3 option. The default is P 0. If P 0 and there are no exogenous independent variables then the AR polynomial order is automatically determined by minimizing an information criterion. If P 0 and the PRIOR or ECM option or both are specified then the AR polynomial order is determined automatically. If the ECM option is specified then subset models of vector autoregressive orders are not allowed and the AR maximum order specified is used. Examples illustrating the P option follow model model model y1 y2 p 3 y1 y2 p 1 3 y1 y2 p 1 3 prior Q number Q number-list specifies the order of the moving-average error process. Subset models of moving-average orders can be specified by listing the desired set of lags. For example you can specify the Q 1 5 option. The default is Q 0. model y1 y2 p 1 q 1 model y1 y2 q 2 MODEL Statement F 2093 XLAG number XLAG number-list specifies the lags of exogenous independent variables. Subset models of distributed lags can be specified by listing the desired set of lags. For example XLAG 2 selects only a lag 2 of the exogenous

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