TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 140

SAS/Ets User's Guide 140. 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 | 1382 F Chapter 19 The PANEL Procedure Output Diagnostic Panel 2 The UNPACK and ONLY options produce individual detail images of paneled plots. The graph shown in Output shows a detail plot of residuals by cross section. The packed version always puts all cross sections on one plot while the unpacked one shows the cross sections in groups of ten to avoid loss of detail. proc panel data airline id i t model 1C IQ 1PF LF fixtwo plots unpack only residsurface run Example The Airline Cost Data Further Analysis F 1383 Output Surface Plot of the Residual Example The Airline Cost Data Further Analysis Using the same data as in Example you further investigate the true effect of fuel prices. Specifically you run the FixOne model ignoring time effects. You specify the following statements in PROC PANEL to run this model proc panel data airline id i t model 1C IQ 1PF LF fixone run The preceding statements result in Output . The fit seems to have deteriorated somewhat. The SSE rises from to . 1384 F Chapter 19 The PANEL Procedure Output The Airline Cost Data Fit Statistics The PANEL Procedure Fixed One Way Estimates Dependent Variable 1C Log transformation of costs Fit Statistics SSE DFE 81 MSE Root MSE R-Square You still reject poolability based on the F test in Output at all accepted levels of significance. Output The Airline Cost Data Test for Fixed Effects F Test for No Fixed Effects Num DF Den DF F Value Pr F 5 81 .0001 The parameters change somewhat dramatically as shown in Output . The effect of fuel costs comes in very strong and significant. The load factor s coefficient increases although not as dramatically. This suggests that the fixed time effects might be proxies for both the oil shocks and deregulation. Output The Airline Cost Data Parameter Estimates Variable Parameter Estimates Standard Label DF Estimate Error t Value Pr t CS1 1 .

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