TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 212

SAS/Ets User's Guide 212. 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 | 2102 F Chapter 32 The VARMAX Procedure proc varmax data one model y1 y2 p 2 output lead 6 back 2 run proc varmax data one model y1 y2 p 2 output out for noprint run RESTRICT Statement RESTRICT restriction . restriction The RESTRICT statement restricts the specified parameters to the specified values. Only one RESTRICT statement is allowed but multiple restrictions can be specified in one RESTRICT statement. The restriction s form is parameter value and each restriction is separated by commas. Parameters are referred by the following keywords CONST i is the intercept parameter of the i th time series yu AR l i j is the autoregressive parameter of the lag l value of the j th dependent endogenous variable yj t_ to the i th dependent variable at time t y -t MA l i j is the moving-average parameter of the lag l value of the j th error process jt _ to the i th dependent variable at time t yu XL l i j is the exogenous parameter of the lag l value of the j th exogenous independent variable xjt _ to the i th dependent variable at time t yu SDUMMY i j is the j th seasonal dummy of the i th time series at time t yu where j 1 . .nseason 1 where nseason is based on the NSEASON option in the MODEL statement LTREND i is the linear trend parameter of the current value i th time series yu QTREND i is the quadratic trend parameter of the current value i th time series yu The following keywords are for the fitted GARCH model. The indexes i and j refer to the position of the element in the coefficient matrix. GCHC i j is the constant parameter of the covariance matrix Ht and i j is 1 i j k for CCC representation and 1 i j k for BEKK representations where k is the number of dependent variables ACH l i j is the ARCH parameter of the lag l value of t e t where i j 1 . k for BEKK representation and i j 1 . . . k for CCC representation TEST Statement F 2103 GCH l i j is the GARCH parameter of the lag l value of covariance matrix Ht where i j 1 . k for BEKK representation and i j 1 . k for

• Tài chính doanh nghiệp
• Hướng dẫn sử dụng SAS ETS
• các mô hình phân tích tài chính
• báo cáo tài chính
• phân tích đầu tư
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