TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 213

SAS/Ets User's Guide 213. 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 | 2112 F Chapter 32 The VARMAX Procedure Impulse Response of Transfer Function IMPULSX SIMPLE Option The coefficient matrix ty from the transfer function operator ty B can be interpreted as the effects that changes in the exogenous variables xt have on the output variable yt at lag j it is called an impulse response matrix in the transfer function. Impulse Response of Transfer Function IMPULSX ACCUM Option The accumulated impulse response in the transfer function is the cumulative sum of the impulse response in the transfer function ty a pj 0 ty . The asymptotic distributions of the impulse functions can be seen in the section VAR and VARX Modeling on page 2133. The following statements provide the impulse response and the accumulated impulse response in the transfer function for a VARX 1 0 model. proc varmax data grunfeld plot impulse model y1-y3 x1 x2 p 1 lagmax 5 printform univariate print impulsx all estimates run Impulse Response Function F 2113 In Figure the variables x1 and x2 are impulses and the variables y1 y2 and y3 are responses. You can read the table matching the pairs of impulse response such as x1 y1 x1 y2 x1 y3 x2 y1 x2 y2 and x2 y3. In the pair of x1 y1 you can see the long-run responses of y1 to an impulse in x1 the values are and so on for lag 0 lag 1 lag 2 and so on respectively . Figure Impulse Response in Transfer Function IMPULSX Option The VARMAX Procedure Simple Impulse Response of Transfer Function by Variable Variable Response Impulse Lag xi x2 yi 0 i 2 3 4 5 y2 0 i 2 3 4 5 y3 0 i 2 3 4 5 2114 F Chapter 32 The VARMAX Procedure Figure shows the responses of y1 y2 and y3 to a forecast error impulse in x1.

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