TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 171

SAS/Ets User's Guide 171. 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 | 1692 F Chapter 25 The SPECTRA Procedure To produce cross-spectral density estimates specify both the CROSS option and the S option. The cross-periodogram is smoothed using the weights specified by the WEIGHTS statement in the same way as the spectral density. The squared coherency and phase estimates of the cross-spectrum are computed when the K and PH options are used. The following example computes cross-spectral density estimates for the variables X and Y. proc spectra data a out b cross s var x y weights 1234321 run The real part and imaginary part of the cross-spectral density estimates are written to the variables CS_01_02 and QS_01_02 respectively. Syntax SPECTRA Procedure The following statements are used with the SPECTRA procedure PROC SPECTRA options BY variables VAR variables WEIGHTS weights kernel Functional Summary Table summarizes the statements and options that control the SPECTRA procedure. Table SPECTRA Functional Summary Description Statement Option Statements specify BY-group processing BY specify the variables to be analyzed VAR specify weights for spectral density estimates WEIGHTS Data Set Options specify the input data set PROC SPECTRA DATA specify the output data set PROC SPECTRA OUT Output Control Options output the amplitudes of the cross-spectrum PROC SPECTRA A output the Fourier coefficients PROC SPECTRA COEF PROC SPECTRA Statement F 1693 Table continued Description Statement Option output the periodogram PROC SPECTRA P output the spectral density estimates PROC SPECTRA S output cross-spectral analysis results PROC SPECTRA CROSS output squared coherency of the cross-spectrum PROC SPECTRA K output the phase of the cross-spectrum PROC SPECTRA PH Smoothing Options specify the Bartlett kernel WEIGHTS BART specify the Parzen kernel WEIGHTS PARZEN specify the quadratic spectral kernel WEIGHTS QS specify the Tukey-Hanning kernel WEIGHTS TUKEY specify the truncated kernel WEIGHTS TRUNCAT Other Options subtract the series mean PROC

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