Subject Index - Worcester Polytechnic · PDF fileSubject Index 2 2SLS estimation method ... and earnings sur-vey DATASOURCE procedure, 487 ... combination models forecasting models,

Subject Index

22SLS estimation method

See two-stage least squares

33SLS estimation method

See three-stage least squares

Aadd factors

See adjustmentsadditive model

ARIMA model, 211additive Winters method

seasonal forecasting, 609additive-invertible region

smoothing weights, 1463ADDWINTERS method

FORECAST procedure, 609adjacency graph

MODEL procedure, 871adjustable rate mortgage

See LOAN procedureLOAN procedure, 636

adjusted R squaredMODEL procedure, 738

adjusted R-squarestatistics of fit, 1481

adjustments, 1361, 1458add factors, 1334forecasting models, 1334specifying, 1334

AGGREGATE methodEXPAND procedure, 558

aggregation oftime series data, 541, 544

aggregation of time seriesEXPAND procedure, 541, 544

AICSee Akaike information criterionSee Akaike’s information criterion

Akaike information criterionAIC, 246ARIMA procedure, 246AUTOREG procedure, 354used to select state space models, 1024

Akaike’s information criterionAIC, 1482statistics of fit, 1482

alignment ofdates, 1385time intervals, 114

alignment of dates, 124, 1385Almon lag polynomials

See polynomial distributed lagsMODEL procedure, 808

alternatives toDIF function, 91LAG function, 91

Amemiya’s prediction criterionstatistics of fit, 1482

Amemiya’s R-squarestatistics of fit, 1481

amortization scheduleLOAN procedure, 663

analyzing modelsMODEL procedure, 869

and goal seekingordinary differential equations (ODEs), 781

and state space modelsstationarity, 1003

and tests for autocorrelationlagged dependent variables, 314

and the OUTPUT statementoutput data sets, 60

AR initial conditionsconditional least squares, 797Hildreth-Lu, 797maximum likelihood, 797unconditional least squares, 797Yule-Walker, 797

ARCH modelAUTOREG procedure, 303autoregressive conditional heteroscedasticity, 303

ARIMA modeladditive model, 211ARIMA procedure, 193autoregressive integrated moving-average model,

193, 1472Box-Jenkins model, 193factored model, 212multiplicative model, 212notation for, 206seasonal model, 212simulating, 1364, 1445subset model, 211

ARIMA model specification, 1362ARIMA models

1488 � Subject Index

forecasting models, 1290specifying, 1290

ARIMA procedureAkaike information criterion, 246ARIMA model, 193ARIMAX model, 193, 213ARMA model, 193autocorrelations, 195autoregressive parameters, 251BY groups, 224conditional forecasts, 252confidence limits, 252correlation plots, 195cross-correlation function, 235data requirements, 220differencing, 210, 242, 249factored model, 212finite memory forecasts, 252forecasting, 252, 254Gauss-Marquardt method, 244ID variables, 254infinite memory forecasts, 252input series, 213interaction effects, 217intervention model, 213, 215, 218, 287inverse autocorrelation function, 234invertibility, 250log transformations, 253Marquardt method, 244Model Identification, 292moving-average parameters, 251naming model parameters, 250output data sets, 254–256, 259–260output table names, 263predicted values, 252prewhitening, 241–242printed output, 261rational transfer functions, 218regression model with ARMA errors, 213–214residuals, 252Schwarz Bayesian criterion, 246seasonal model, 212stationarity, 196subset model, 211syntax, 221time intervals, 254transfer function model, 213, 217, 246unconditional forecasts, 252

ARIMA process specification, 1364ARIMAX model

ARIMA procedure, 193, 213ARIMAX models and

design matrix, 217ARMA model

ARIMA procedure, 193autoregressive moving-average model, 193MODEL procedure, 794notation for, 206

as time ID

observation numbers, 1272at annual rates

percent change calculations, 93attributes

DATASOURCE procedure, 449attributes of variables

DATASOURCE procedure, 472audit trail, 1386augumented Dickey-Fuller tests, 227, 241autocorrelation tests

Durbin-Watson test, 331Godfrey’s test, 331

autocorrelationsARIMA procedure, 195multivariate, 1005plotting, 195prediction errors, 1260series, 1311

automatic forecastingFORECAST procedure, 579STATESPACE procedure, 999

automatic generationforecasting models, 1236

automatic inclusion ofinterventions, 1385

automatic model selectioncriterion, 1408options, 1372

automatic selectionforecasting models, 1285

AUTOREG procedureAkaike information criterion, 354ARCH model, 303autoregressive error correction, 305BY groups, 328Cholesky root, 344Cochrane-Orcutt method, 346conditional variance, 365confidence limits, 340dual quasi-Newton method, 352Durbin h-test, 314Durbin t-test, 314Durbin-Watson test, 313EGARCH model, 323EGLS method, 346estimation methods, 342factored model, 317GARCH model, 303GARCH-M model, 323Gauss-Marquardt method, 345generalized Durbin-Watson tests, 313heteroscedasticity, 317Hildreth-Lu method, 347IGARCH model, 323Kalman filter, 345lagged dependent variables, 314maximum likelihood method, 347nonlinear least-squares, 347output data sets, 366–367

SAS OnlineDoc: Version 8

Subject Index � 1489

output table names, 368Prais-Winsten estimates, 346predicted values, 341, 363–364printed output, 368quasi-Newton method, 330random walk model, 377residuals, 341Schwarz Bayesian criterion, 354serial correlation correction, 305stepwise autoregression, 315structural predictions, 363subset model, 317Toeplitz matrix, 343trust region method, 330two-step full transform method, 346Yule-Walker equations, 343Yule-Walker estimates, 342

autoregressive conditional heteroscedasticitySee ARCH model

autoregressive error correctionAUTOREG procedure, 305

autoregressive integrated moving-average modelSee ARIMA model

autoregressive modelsFORECAST procedure, 602MODEL procedure, 794

autoregressive moving-average modelSee ARMA model

autoregressive parametersARIMA procedure, 251

auxiliary data setsDATASOURCE procedure, 449

auxiliary equations, 780MODEL procedure, 780

Bbalance of payment statistics data files

See DATASOURCE procedureballoon payment mortgage

See LOAN procedureLOAN procedure, 636

bandwidth functions, 731base SAS software, 26Basmann test

SYSLIN procedure, 1077, 1089batch forecasting

FORECAST CommandSAS/AF

batch modeunattended mode

BEA data filesSee DATASOURCE procedure

BEA national income and product accounts diskettesDATASOURCE procedure, 485

BEA S-page diskettesSee DATASOURCE procedure

between levels and ratesinterpolation, 106

between stocks and flows

interpolation, 106BIC

See Schwarz Bayesian information criterionblock structure

MODEL procedure, 870BLS consumer price index surveys

DATASOURCE procedure, 486BLS data files

See DATASOURCE procedureBLS national employment, hours, and earnings sur-

veyDATASOURCE procedure, 487

BLS producer price index surveyDATASOURCE procedure, 486

BLS state and area employment, hours, and earningssurvey

DATASOURCE procedure, 488BOPS data file

DATASOURCE procedure, 503boundaries

smoothing weights, 1463bounds on parameter estimates, 704BOUNDS statement, 704Box Cox

transformations, 1459Box Cox transformation

See transformationsBox-Cox transformation

BOXCOXAR macro, 130Box-Jenkins model

See ARIMA modelBOXCOXAR macro

Box-Cox transformation, 130output data sets, 131SAS macros, 130

breakeven analysisLOAN procedure, 660

Breusch-Pagan test, 762heteroscedasticity tests, 762

Brown smoothing modelSee double exponential smoothing

Bureau of Economic Analysis data filesSee DATASOURCE procedure

Bureau of Labor Statistics data filesSee DATASOURCE procedure

buydown rate loansSee LOAN procedureLOAN procedure, 636

BY groupsARIMA procedure, 224AUTOREG procedure, 328cross-sectional dimensions and, 55EXPAND procedure, 549FORECAST procedure, 600PDLREG procedure, 921SIMLIN procedure, 948SPECTRA procedure, 980STATESPACE procedure, 1018SYSLIN procedure, 1075



TSCSREG procedure, 1122X11 procedure, 1165

BY groups andtime series cross-sectional form, 55

Ccalculation of

leads, 94calculations

smoothing models, 1461calendar calculations

functions for, 77, 125interval functions and, 87time intervals and, 87

calendar calculations andINTCK function, 87INTNX function, 87time intervals, 87

calendar functions anddate values, 77–78

calendar variables, 77computing dates from, 77computing from dates, 78computing from datetime values, 79

canonical correlation analysisfor selection of state space models, 1001, 1026STATESPACE procedure, 1001, 1026

CATALOG procedure, 26SAS catalogs, 26

CDROM data, IEEE Big Endian vs. IEEE Little En-dian

DATASOURCE procedure, 532CDROM data, UNIX (SUN) Binary vs. PC Binary

DATASOURCE procedure, 532CDT (COMPUTAB data table)

COMPUTAB procedure, 423ceiling of

time intervals, 85censored regression, 32Census X-11 method

See X11 procedureCensus X-11 methodology

X11 procedure, 1178Center for Research in Security Prices data files

See DATASOURCE procedurecentered moving time window operators, 562–563change vector, 738changes in trend

forecasting models, 1341changing by interpolation

frequency, 106, 541, 552periodicity, 106, 541sampling frequency, 106

changing periodicityEXPAND procedure, 106time series data, 106, 541

character functions, 27character variables

MODEL procedure, 852

CHART procedure, 26histograms, 26

checking data periodicityINTNX function, 86time intervals, 86

Chirp-Z algorithmSPECTRA procedure, 982

choice ofinstrumental variables, 791

Cholesky rootAUTOREG procedure, 344

Chow test, 330, 332, 360Chow test for

structural change, 330Chow tests, 787

MODEL procedure, 787CITIBASE old tape format

DATASOURCE procedure, 489CITIBASE PC diskette format

DATASOURCE procedure, 490CITIBASE tape format

DATASOURCE procedure, 451classical decomposition operators, 565Cochrane-Orcutt method

AUTOREG procedure, 346coherency

cross-spectral analysis, 986coherency of cross-spectrum

SPECTRA procedure, 986cointegration test, 332, 362collinearity diagnostics

MODEL procedure, 743, 752column blocks

COMPUTAB procedure, 424column selection

COMPUTAB procedure, 421–422COLxxxxx: label

COMPUTAB procedure, 415combination models


combined with cross-sectional dimensioninterleaved time series, 57

combined with interleaved time seriescross-sectional dimensions, 57

combining forecasts, 1391, 1458combining time series data sets, 101Command Reference, 1353COMPARE procedure, 26

comparing SAS data sets, 26comparing

forecasting models, 1319, 1403comparing forecasting models, 1319, 1403comparing loans

LOAN procedure, 642, 659, 664comparing SAS data sets

See COMPARE procedurecompiler listing




COMPUSTAT data filesSee DATASOURCE procedureDATASOURCE procedure, 490

COMPUSTAT IBM 360/370 general format 48 quar-ter files

DATASOURCE procedure, 491COMPUSTAT IBM 360/370 general format annual

filesDATASOURCE procedure, 491

COMPUSTAT universal character format 48 quarterfiles

DATASOURCE procedure, 493COMPUSTAT universal character format annual files

DATASOURCE procedure, 493COMPUTAB procedure

CDT (COMPUTAB data table), 423column blocks, 424column selection, 421–422COLxxxxx: label, 415consolidation tables, 415controlling row and column block execution, 423input block, 424missing values, 426order of calculations, 420output data sets, 426program flow, 417programming statements, 414reserved words, 426row blocks, 425ROWxxxxx: label, 415table cells, direct access to, 425

computing calendar variables fromdatetime values, 79

computing ceiling of intervalsINTNX function, 85

computing dates fromcalendar variables, 77

computing datetime values fromdate values, 79

computing ending date of intervalsINTNX function, 83

computing from calendar variablesdatetime values, 79

computing from datescalendar variables, 78

computing from datetime valuescalendar variables, 79date values, 79time variables, 79

computing from time variablesdatetime values, 79

computing lagsRETAIN statement, 91

computing midpoint date of intervalsINTNX function, 83

computing time variables fromdatetime values, 79

computing widths of intervalsINTNX function, 84

concatenateddata set, 1245

concentrated likelihood Hessian, 735conditional forecasts

ARIMA procedure, 252conditional least squares

AR initial conditions, 797MA Initial Conditions, 798

conditional t distributionGARCH model, 351

conditional varianceAUTOREG procedure, 365predicted values, 365predicting, 365

confidence limits, 1264ARIMA procedure, 252AUTOREG procedure, 340FORECAST procedure, 614forecasts, 1264PDLREG procedure, 925STATESPACE procedure, 1035

consolidation tablesCOMPUTAB procedure, 415

constrained estimationheteroscedasticity models, 336

Consumer Price Index SurveysSee DATASOURCE procedure

contemporaneous correlation oferrors across equations, 1086

contents ofSAS data sets, 26

CONTENTS procedure, 26SASEFAME engine, 150

continuous compoundingLOAN procedure, 658

contrasted with flow variablesstocks, 544

contrasted with flows or rateslevels, 544

contrasted with missing valuesomitted observations, 54

contrasted with omitted observationsmissing observations, 54missing values, 54

contrasted with stock variablesflows, 544

contrasted with stocks or levelsrates, 544

control charts, 31control key

for multiple selections, 1237control variables

MODEL procedure, 850controlling row and column block execution

COMPUTAB procedure, 423controlling starting values

MODEL procedure, 746convergence criteria




conversion methodsEXPAND procedure, 557

convert optionSASEFAME engine, 149–150

converting frequency oftime series data, 541

COPY procedure, 26copying

SAS data sets, 26CORR procedure, 26corrected sum of squares

statistics of fit, 1481correlation plots

ARIMA procedure, 195cospectrum estimate

cross-spectral analysis, 986SPECTRA procedure, 986

countingtime intervals, 81, 85

counting time intervalsINTCK function, 85

covariance estimatesGARCH model, 330

covariance of the parameter estimates, 726covariance structure analysis, 34covariance structure analysis of

structural models, 34covariates

heteroscedasticity models, 335covariates and

GARCH model, 322Cox model, 32CPORT procedure, 26creating

time ID variable, 1269creating a FAME view

See SASEFAME enginecriterion

automatic model selection, 1408cross sections

DATASOURCE procedure, 455–457, 470cross-correlation function

ARIMA procedure, 235cross-equation covariance matrix

MODEL procedure, 737seemingly unrelated regression, 729

cross-periodogramcross-spectral analysis, 976, 986SPECTRA procedure, 986

cross-referenceMODEL procedure, 866

cross-sectional dimensions, 54combined with interleaved time series, 57ID variables for, 55represented by different series, 54represented with BY groups, 55transposing time series, 102

cross-sectional dimensions andBY groups, 55

cross-spectral analysiscoherency, 986cospectrum estimate, 986cross-periodogram, 976, 986cross-spectrum, 986phase spectrum, 986quadrature spectrum, 986SPECTRA procedure, 975–976, 986

cross-spectrumcross-spectral analysis, 986SPECTRA procedure, 986

crossproducts estimator of the covariance matrix, 735crossproducts matrix, 755crosstabulations

See FREQ procedureCRSP ACCESS97 CDROM data files

DATASOURCE procedure, 533CRSP annual data

DATASOURCE procedure, 499CRSP calendar/indices files

DATASOURCE procedure, 495CRSP CDROM data files

DATASOURCE procedure, 532CRSP daily binary files

DATASOURCE procedure, 494CRSP daily character files

DATASOURCE procedure, 494CRSP daily IBM binary files

DATASOURCE procedure, 494CRSP daily security files

DATASOURCE procedure, 496CRSP data files

See DATASOURCE procedureCRSP monthly binary files

DATASOURCE procedure, 494CRSP monthly character files

DATASOURCE procedure, 494CRSP monthly IBM binary files

DATASOURCE procedure, 494CRSP monthly security files

DATASOURCE procedure, 497CRSP stock files

DATASOURCE procedure, 494cubic

trend curves, 1477cubic trend, 1477cumulative statistics operators, 564custom model specification, 1373custom models


CUSUM statistics, 340, 353

DDa Silva method

TSCSREG procedure, 1114, 1133damped-trend exponential smoothing, 1467

smoothing models, 1467data frequency



See time intervalsdata periodicity

FORECAST procedure, 601data requirements

ARIMA procedure, 220FORECAST procedure, 613X11 procedure, 1184

data set, 1242concatenated, 1245forecast data set, 1243forms of, 1243interleaved, 1244simple, 1243

data set selection, 1233, 1377DATA step, 26

SAS data sets, 26DATASETS procedure, 26DATASOURCE procedure

attributes, 449attributes of variables, 472auxiliary data sets, 449balance of payment statistics data files, 449BEA data files, 449BEA national income and product accounts

diskettes, 485BEA S-page diskettes, 449BLS consumer price index surveys, 486BLS data files, 449BLS national employment, hours, and earnings sur-

vey, 487BLS producer price index survey, 486BLS state and area employment, hours, and earn-

ings survey, 488BOPS data file, 503Bureau of Economic Analysis data files, 449Bureau of Labor Statistics data files, 449CDROM data, IEEE Big Endian vs. IEEE Little

Endian, 532CDROM data, UNIX (SUN) Binary vs. PC Binary,

532Center for Research in Security Prices data files,

449CITIBASE old tape format, 489CITIBASE PC diskette format, 490CITIBASE tape format, 451COMPUSTAT data files, 449, 490COMPUSTAT IBM 360/370 general format 48

quarter files, 491COMPUSTAT IBM 360/370 general format annual

files, 491COMPUSTAT universal character format 48 quar-

ter files, 493COMPUSTAT universal character format annual

files, 493Consumer Price Index Surveys, 449cross sections, 455–457, 470CRSP ACCESS97 CDROM data files, 533CRSP annual data, 499CRSP calendar/indices files, 495

CRSP CDROM data files, 532CRSP daily binary files, 494CRSP daily character files, 494CRSP daily IBM binary files, 494CRSP daily security files, 496CRSP data files, 449CRSP monthly binary files, 494CRSP monthly character files, 494CRSP monthly IBM binary files, 494CRSP monthly security files, 497CRSP stock files, 494direction of trade statistics data files, 449DOTS data file, 503DRI Data Delivery Service data files, 449DRI data files, 449, 488DRI/McGraw-Hill data files, 449, 488DRIBASIC data files, 489DRIBASIC economics format, 451DRIDDS data files, 489employment, hours, and earnings survey, 449event variables, 469, 476FAME data files, 449FAME Information Services Databases, 449, 499formatting variables, 472frequency of data, 452frequency of input data, 466generic variables, 478GFS data files, 504government finance statistics data files, 449Haver Analytics data files, 501ID variable, 476IMF balance of payment statistics, 503IMF data files, 449IMF direction of trade statistics, 503IMF Economic Information System data files, 502IMF government finance statistics, 504IMF International Financial Statistics, 455IMF international financial statistics, 502indexing the OUT= data set, 465, 529input file, 465international financial statistics data files, 449International Monetary Fund data files, 449, 502labeling variables, 473lengths of variables, 460, 473main economic indicators (OECD) data files, 449national accounts data files (OECD), 449national income and product accounts, 449national income and product accounts tapes, 485NIPA Tables, 485obtaining descriptive information, 453, 456–457,

477–480OECD ANA data files, 504OECD annual national accounts, 504OECD data files, 449OECD main economic indicators, 506OECD MEI data files, 506OECD QNA data files, 505OECD quarterly national accounts, 505



Organization for Economic Cooperation and Devel-opment data files, 449, 504

OUTALL= data set, 456OUTBY= data set, 456OUTCONT= data set, 453, 457output data sets, 451, 476–480Producer Price Index Survey, 449reading data files, 451renaming variables, 458, 473SAS YEARCUTOFF= option, 471state and area employment, hours, and earnings sur-

vey, 449stock data files, 449subsetting data files, 451, 462time range, 471time range of data, 454time series variables, 452, 476type of input data file, 464U.S. Bureau of Economic Analysis data files, 485U.S. Bureau of Labor Statistics data files, 486variable list, 475

DATEID variables, 47

date values, 1231calendar functions and, 77–78computing datetime values from, 79computing from datetime values, 79difference between dates, 84formats, 46, 119formats for, 46functions, 125incrementing by intervals, 81informats, 45, 118informats for, 45INTNX function and, 81normalizing to intervals, 83SAS representation for, 44syntax for, 44time intervals, 113time intervals and, 83Year 2000 Compliance, 44

DATE variable, 47dates

alignment of, 1385DATETIME

ID variables, 47datetime values

computing calendar variables from, 79computing from calendar variables, 79computing from time variables, 79computing time variables from, 79formats, 46, 123formats for, 46functions, 125informats, 45, 118informats for, 45SAS representation for, 45syntax for, 45time intervals, 113

DATETIME variable, 47dating variables, 1274default time ranges, 1378defined

INTCK function, 81interleaved time series, 56INTNX function, 80omitted observations, 54time values, 45

definitionS matrix, 727time series, 1222

degrees of freedom correction, 737denominator factors

transfer function model, 217dependency list

MODEL procedure, 869derivatives

MODEL procedure, 855DERT. variable, 775descriptive statistics

See UNIVARIATE proceduredesign matrix

ARIMAX models and, 217details

generalized method of moments, 730developing

forecasting models, 1250, 1380developing forecasting models, 1250, 1380DFPVALUE macro

Dickey-Fuller test, 134SAS macros, 134

DFTEST macroDickey-Fuller test, 136output data sets, 137SAS macros, 136seasonality, testing for, 136stationarity, testing for, 136

diagnostic tests, 1281, 1479time series, 1281

diagnostics and debuggingMODEL procedure, 864

Dickey-Fuller test, 1480DFPVALUE macro, 134DFTEST macro, 136significance probabilities for, 134

Dickey-Fuller tests, 227DIF function

alternatives to, 91explained, 89higher order differences, 92introduced, 88MODEL procedure version, 91multiperiod lags and, 92percent change calculations and, 92–94pitfalls of, 89second difference, 92

DIF function anddifferencing, 88–89



difference between datesdate values, 84

differences with X11ARIMA/88X11 procedure, 1177

differencingARIMA procedure, 210, 242, 249DIF function and, 88–89higher order, 92MODEL procedure and, 91multiperiod differences, 92percent change calculations and, 92–94RETAIN statement and, 91second difference, 92STATESPACE procedure, 1020testing order of, 136time series data, 88–89, 91–94

different forms ofoutput data sets, 58

differential algebraic equationsordinary differential equations (ODEs), 845

differential equationsSee ordinary differential equations, 777

direction of trade statistics data filesSee DATASOURCE procedure

discussedEXPAND procedure, 105

distributed lag regression modelsPDLREG procedure, 915

distributionof time series, 544

distribution oftime series data, 544

distribution of time seriesEXPAND procedure, 544

DOTS data fileDATASOURCE procedure, 503

double exponential smoothing, 1465See exponential smoothingBrown smoothing model, 1465smoothing models, 1465

DRI Data Delivery Service data filesSee DATASOURCE procedure

DRI data filesSee DATASOURCE procedureDATASOURCE procedure, 488

DRI data files in FAME.dbSee SASEFAME engine

DRI/McGraw-Hill data filesSee DATASOURCE procedureDATASOURCE procedure, 488

DRI/McGraw-Hill data files in FAME.dbSee SASEFAME engine

DRIBASIC data filesDATASOURCE procedure, 489

DRIBASIC economics formatDATASOURCE procedure, 451

DRIDDS data filesDATASOURCE procedure, 489

DROP in the DATA step

SASEFAME engine, 157dual quasi-Newton method

AUTOREG procedure, 352Durbin h-test

AUTOREG procedure, 314Durbin t-test

AUTOREG procedure, 314Durbin-Watson

MODEL procedure, 737Durbin-Watson test

autocorrelation tests, 331AUTOREG procedure, 313for first-order autocorrelation, 313for higher-order autocorrelation, 313p-values for, 313

Durbin-Watson tests, 331linearized form, 334

dynamic modelsSIMLIN procedure, 944–945, 952, 967

dynamic multipliersSIMLIN procedure, 952

dynamic regression, 193, 213, 1387–1388specifying, 1335

dynamic regressorsforecasting models, 1335

dynamic simulation, 775MODEL procedure, 775, 821SIMLIN procedure, 945

Eeconometrics

features in SAS/ETS software, 13methods in other SAS products, 32

editing selection listforecasting models, 1296

EGARCH modelAUTOREG procedure, 323

EGLS methodAUTOREG procedure, 346

embedded in time seriesmissing values, 53

embedded missing values, 53embedded missing values in

time series data, 53employment, hours, and earnings survey

See DATASOURCE procedureending dates of

time intervals, 83endogenous variables

SYSLIN procedure, 1053endpoint restrictions for

polynomial distributed lags, 915, 922EQ. variables, 766, 853equality restriction

nonlinear models, 718, 783equation translations

MODEL procedure, 853equation variables




Error model options, 1389error sum of squares

statistics of fit, 1481ERROR. variables, 853errors across equations

contemporaneous correlation of, 1086ESACF (Extended Sample Autocorrelation Function

method), 236EST= data set

SIMLIN procedure, 953ESTIMATE statement, 706estimation convergence problems

MODEL procedure, 750estimation methods

AUTOREG procedure, 342MODEL procedure, 726

estimation of ordinary differential equations, 777MODEL procedure, 777

evaluation range, 1441event variables

DATASOURCE procedure, 469, 476example

generalized method of moments, 765, 811, 814,816

ordinary differential equations (ODEs), 903examples

Monte Carlo simulation, 906systems of differential equations, 903

examples oftime intervals, 117

exogenous variablesSYSLIN procedure, 1053

EXPAND procedureAGGREGATE method, 558aggregation of time series, 541, 544BY groups, 549changing periodicity, 106conversion methods, 557discussed, 105distribution of time series, 544extrapolation, 554frequency, 541ID variables, 551, 553interpolation methods, 557interpolation of missing values, 105JOIN method, 558output data sets, 567–568range of output observations, 554SPLINE method, 557STEP method, 558time intervals, 553transformation of time series, 545, 559transformation operations, 559

EXPAND procedure andinterpolation, 105time intervals, 105

experimental design, 31explained

DIF function, 89

LAG function, 89exploratory data analysis, 29explosive differential equations, 845

ordinary differential equations (ODEs), 845exponential

trend curves, 1477exponential smoothing

See smoothing modelsdouble exponential smoothing, 603FORECAST procedure, 579, 603single exponential smoothing, 603triple exponential smoothing, 603

exponential trend, 1477Extended Sample Autocorrelation Function (ESACF)

method, 236external

forecasts, 1458external forecasts, 1458external sources

forecasting models, 1302, 1390extrapolation

EXPAND procedure, 554

Ffactor analysis, 34factored model

ARIMA model, 212ARIMA procedure, 212AUTOREG procedure, 317

FAME data filesSee DATASOURCE procedureSee SASEFAME engine

FAME Information Services DatabasesSee DATASOURCE procedureSee SASEFAME engineDATASOURCE procedure, 499

fast Fourier transformSPECTRA procedure, 982

features in SAS/ETS softwareeconometrics, 13

FIML estimation methodSee full information maximum likelihood

financial functions, 27finite Fourier transform

SPECTRA procedure, 975finite memory forecasts

ARIMA procedure, 252first-stage R squares, 794fitting

forecasting models, 1253fitting forecasting models, 1253fixed effects model

one-way, 1126two-way, 1126

fixed rate mortgageSee LOAN procedureLOAN procedure, 636

flowscontrasted with stock variables, 544



for first-order autocorrelationDurbin-Watson test, 313

for higher-order autocorrelationDurbin-Watson test, 313

for interleaved time seriesID variables, 56

for multiple selectionscontrol key, 1237

for nonlinear modelsinstrumental variables, 791

for selection of state space modelscanonical correlation analysis, 1001, 1026

for time series dataID variables, 43

forecast combination, 1391, 1458FORECAST command, 1353forecast data set

See output data setforecast horizon, 1379, 1441forecast options, 1394FORECAST procedure

ADDWINTERS method, 609automatic forecasting, 579autoregressive models, 602BY groups, 600confidence limits, 614data periodicity, 601data requirements, 613exponential smoothing, 579, 603forecasting, 579Holt two-parameter exponential smoothing, 579,

609ID variables, 600missing values, 601output data sets, 613, 615predicted values, 614residuals, 614seasonal forecasting, 605, 609seasonality, 611smoothing weights, 609STEPAR method, 602stepwise autoregression, 579, 602time intervals, 601time series methods, 591time trend models, 589Winters method, 579, 605

FORECAST procedure andinterleaved time series, 56–57

forecasting, 1457ARIMA procedure, 252, 254FORECAST procedure, 579MODEL procedure, 824STATESPACE procedure, 999, 1031

Forecasting menu system, 25forecasting models

adjustments, 1334ARIMA models, 1290automatic generation, 1236automatic selection, 1285

changes in trend, 1341combination models, 1299comparing, 1319, 1403custom models, 1292developing, 1250, 1380dynamic regressors, 1335editing selection list, 1296external sources, 1302, 1390fitting, 1253interventions, 1339level shifts, 1343linear trend, 1329predictor variables, 1327reference, 1320regressors, 1332seasonal dummy variables, 1347selecting from a list, 1283smoothing models, 1287, 1461sorting, 1317, 1384specifying, 1281transfer functions, 1474trend curves, 1330

forecasting process, 1231forecasting project, 1246

managing, 1398Project Management window, 1246saving and restoring, 1248

forecasts, 1264confidence limits, 1264external, 1458plotting, 1264producing, 1241, 1419

form ofstate space models, 999

formatsdate values, 46, 119datetime values, 46, 123recommended for time series ID, 47time values, 123

formats fordate values, 46datetime values, 46

formatting variablesDATASOURCE procedure, 472

forms ofdata set, 1243

Fourier coefficientsSPECTRA procedure, 986

Fourier transformSPECTRA procedure, 975

FREQ procedure, 26crosstabulations, 26

frequencychanging by interpolation, 106, 541, 552EXPAND procedure, 541of time series observations, 60, 106SPECTRA procedure, 985time intervals and, 60, 106

frequency of data



See time intervalsDATASOURCE procedure, 452

frequency of input dataDATASOURCE procedure, 466

from interleaved formtransposing time series, 101

from standard formtransposing time series, 103

full information maximum likelihoodFIML estimation method, 1051MODEL procedure, 734SYSLIN procedure, 1061, 1086

Fuller’s modification to LIMLSYSLIN procedure, 1090

functions, 27date values, 125datetime values, 125lag functions, 857mathematical functions, 856random-number functions, 856time intervals, 125time values, 125

functions across timeMODEL procedure, 857

functions forcalendar calculations, 77, 125time intervals, 80, 125

functions of parametersnonlinear models, 706

GGARCH in mean model

See GARCH-M modelGARCH model

AUTOREG procedure, 303conditional t distribution, 351covariance estimates, 330covariates and, 322generalized autoregressive conditional het-

eroscedasticity, 303heteroscedasticity models, 335initial values, 333starting values, 330t distribution, 351

GARCH-M model, 351AUTOREG procedure, 323GARCH in mean model, 351

Gauss-Marquardt methodARIMA procedure, 244AUTOREG procedure, 345

Gauss-Newton method, 738generalized autoregressive conditional heteroscedas-

ticitySee GARCH model

generalized Durbin-Watson testsAUTOREG procedure, 313

generalized least squaresTSCSREG procedure, 1131

generalized least squares estimator of the covariancematrix, 735

generalized least-squaresYule-Walker method as, 346

generalized method of momentsdetails, 730example, 765, 811, 814, 816

Generalized Method of MomentsV matrix, 731

generating models, 1366generic variables

DATASOURCE procedure, 478GFS data files

DATASOURCE procedure, 504giving dates to

time series data, 43global statements, 27goal seeking

MODEL procedure, 835goal seeking problems, 781Godfrey’s test, 331

autocorrelation tests, 331goodness of fit

See statistics of fitgoodness-of-fit statistics, 1435

See statistics of fitgovernment finance statistics data files

See DATASOURCE procedureGPLOT procedure

plot axis for time series, 64plotting time series, 63reference, 64time series data, 63

gradient of the objective function, 754–755graphics

SAS/GRAPH software, 28SAS/INSIGHT software, 29

graphsSee Model ViewerSee Time Series Viewer

grid searchMODEL procedure, 748

HHausman specification test, 786

MODEL procedure, 786Haver Analytics data files

DATASOURCE procedure, 501help system, 10Henze-Zirkler test, 760

normality tests, 760heteroscedastic errors, 730heteroscedasticity, 676, 762

AUTOREG procedure, 317Lagrange multiplier test, 337testing for, 317

heteroscedasticity modelsSee GARCH modelconstrained estimation, 336



covariates, 335link function, 335

heteroscedasticity testsBreusch-Pagan test, 762Lagrange multiplier test, 337White’s test, 762

higher orderdifferencing, 92

higher order differencesDIF function, 92

higher order sumssummation, 97

Hildreth-LuAR initial conditions, 797

Hildreth-Lu methodAUTOREG procedure, 347

histogramsSee CHART procedure

hold-out sample, 1379hold-out samples, 1321Holt smoothing model

See linear exponential smoothingHolt two-parameter exponential smoothing

FORECAST procedure, 579, 609Holt-Winters Method

See Winters MethodHolt-Winters method

See Winters methodhomoscedastic errors, 762hyperbolic

trend curves, 1477hyperbolic trend, 1477

IID values for

time intervals, 83ID variable

See time ID variableDATASOURCE procedure, 476

ID variable fortime series data, 43

ID variables, 1235ARIMA procedure, 254DATE, 47DATETIME, 47EXPAND procedure, 551, 553for interleaved time series, 56for time series data, 43FORECAST procedure, 600SIMLIN procedure, 949sorting by, 48STATESPACE procedure, 1019TSCSREG procedure, 1122X11 procedure, 1165, 1167

ID variables forcross-sectional dimensions, 55interleaved time series, 56time series cross-sectional form, 55

IGARCH model

AUTOREG procedure, 323IMF balance of payment statistics

DATASOURCE procedure, 503IMF data files

See DATASOURCE procedureIMF direction of trade statistics

DATASOURCE procedure, 503IMF Economic Information System data files

DATASOURCE procedure, 502IMF government finance statistics

DATASOURCE procedure, 504IMF International Financial Statistics

DATASOURCE procedure, 455IMF international financial statistics

DATASOURCE procedure, 502IML

See SAS/IML softwareimpact multipliers

SIMLIN procedure, 952, 956impulse function

intervention model and, 216impulse response matrix

of a state space model, 1033in SAS data sets

time series, 1222in standard form

output data sets, 60incrementing by intervals

date values, 81incrementing dates

INTNX function, 81incrementing dates by

time intervals, 80–81independent variables

See predictor variablesindexing

OUT= data set, 476indexing the OUT= data set

DATASOURCE procedure, 465, 529inequality restriction

nonlinear models, 704, 718, 783infinite memory forecasts

ARIMA procedure, 252informats

date values, 45, 118datetime values, 45, 118time values, 118

informats fordate values, 45datetime values, 45

initial values, 333GARCH model, 333

initializationssmoothing models, 1462

initializing lagsMODEL procedure, 860SIMLIN procedure, 954

innovation vectorof a state space model, 1000



input blockCOMPUTAB procedure, 424

input data set, 1233, 1377input data sets

MODEL procedure, 810input file

DATASOURCE procedure, 465input matrix

of a state space model, 1000input series

ARIMA procedure, 213inputs

See predictor variablesinstallment loans

See LOAN procedureinstrumental regression, 728instrumental variables, 728

choice of, 791for nonlinear models, 791number to use, 791SYSLIN procedure, 1053, 1085

instruments, 726INTCK function

calendar calculations and, 87counting time intervals, 85defined, 81

INTCK function andtime intervals, 81, 85

interaction effectsARIMA procedure, 217

interest ratesLOAN procedure, 658

interim multipliersSIMLIN procedure, 952, 955–956

interleaveddata set, 1244

interleaved formoutput data sets, 58

interleaved form oftime series data set, 56

interleaved time seriesand–TYPE– variable, 56–57combined with cross-sectional dimension, 57defined, 56FORECAST procedure and, 56–57ID variables for, 56plots of, 67, 74

internal rate of returnLOAN procedure, 660

internal variablesMODEL procedure, 851

international financial statistics data filesSee DATASOURCE procedure

International Monetary Fund data filesSee DATASOURCE procedureDATASOURCE procedure, 502

interpolationbetween levels and rates, 106between stocks and flows, 106

EXPAND procedure and, 105of missing values, 105, 542time series data, 106to higher frequency, 106to lower frequency, 106

interpolation methodsEXPAND procedure, 557

interpolation ofmissing values, 105time series data, 105–106, 542

interpolation of missing valuesEXPAND procedure, 105

interpolation of time seriesstep function, 558

interrupted time series analysisSee intervention model

interrupted time series modelSee intervention model

interval functionsSee time intervals, functions

interval functions andcalendar calculations, 87

INTERVAL= option andtime intervals, 60

intervals, 1235See time intervals

intervention analysisSee intervention model

intervention modelARIMA procedure, 213, 215, 218, 287interrupted time series analysis, 216interrupted time series model, 213intervention analysis, 216

intervention model andimpulse function, 216step function, 216

intervention specification, 1394, 1396interventions, 1478

automatic inclusion of, 1385forecasting models, 1339point, 1478predictor variables, 1478ramp, 1478specifying, 1339step, 1478

INTNX functioncalendar calculations and, 87checking data periodicity, 86computing ceiling of intervals, 85computing ending date of intervals, 83computing midpoint date of intervals, 83computing widths of intervals, 84defined, 80incrementing dates, 81normalizing dates in intervals, 83

INTNX function anddate values, 81time intervals, 80

introduced



DIF function, 88LAG function, 88percent change calculations, 92time variables, 77

inverse autocorrelation functionARIMA procedure, 234

invertibilityARIMA procedure, 250

invoking the system, 1227irregular component

X11 procedure, 1153, 1159iterated generalized method of moments, 733iterated seemingly unrelated regression

SYSLIN procedure, 1086iterated three-stage least squares

SYSLIN procedure, 1086

JJacobi method

MODEL procedure, 838Jacobian, 727, 738Jarque-Bera test, 332

normality tests, 332JOIN method

EXPAND procedure, 558joint generalized least squares

See seemingly unrelated regressionjointly dependent variables

SYSLIN procedure, 1053

KK-class estimation

SYSLIN procedure, 1085Kalman filter

AUTOREG procedure, 345STATESPACE procedure, 1001used for state space modeling, 1001

KEEP in the DATA stepSASEFAME engine, 156–157

kernels, 731, 982SPECTRA procedure, 982

Kolmogorov-Smirnov test, 760normality tests, 760

Llabeling variables

DATASOURCE procedure, 473LAG function

alternatives to, 91explained, 89introduced, 88MODEL procedure version, 91multiperiod lags and, 92percent change calculations and, 92–94pitfalls of, 89

LAG function andlags, 88Lags, 89lags, 89

lag functionsfunctions, 857MODEL procedure, 857

lag lengthsMODEL procedure, 859

lag logicMODEL procedure, 858

lagged dependent variablesand tests for autocorrelation, 314AUTOREG procedure, 314

lagged endogenous variablesSYSLIN procedure, 1053

laggingtime series data, 88–89, 91–94

Lagrange multiplier testheteroscedasticity, 337heteroscedasticity tests, 337nonlinear hypotheses, 725, 784

lagsLAG function and, 88

LagsLAG function and, 89

lagsLAG function and, 89MODEL procedure and, 91multiperiod lagging, 92percent change calculations and, 92–94RETAIN statement and, 91SIMLIN procedure, 954

lambda, 739language differences

MODEL procedure, 861large problems

MODEL procedure, 756latent variables models, 34leads

calculation of, 94multiperiod, 95time series data, 94–95

left-hand side expressionsnonlinear models, 849

lengths of variablesDATASOURCE procedure, 460, 473

level shiftsforecasting models, 1343specifying, 1343

levelscontrasted with flows or rates, 544

LIBNAME interface engine for FAME databaseSee SASEFAME engine

libname statementSASEFAME engine, 149

likelihood confidence intervals, 789MODEL procedure, 789

likelihood ratio testnonlinear hypotheses, 725, 785

limitations onordinary differential equations (ODEs), 845

limitations on ordinary differential equations



MODEL procedure, 845limited dependent variables, 32limited information maximum likelihood

LIML estimation method, 1051SYSLIN procedure, 1085

LIML estimation methodSee limited information maximum likelihood

lineartrend curves, 1477

linear dependenciesMODEL procedure, 752

linear exponential smoothing, 1466Holt smoothing model, 1466smoothing models, 1466

linear hypothesis testing, 1136TSCSREG procedure, 1136

linear structural equationsSIMLIN procedure, 951

linear trend, 1329, 1477forecasting models, 1329

linearized formDurbin-Watson tests, 334

link functionheteroscedasticity models, 335

LOAN procedureadjustable rate mortgage, 635–636amortization schedule, 663balloon payment mortgage, 635–636breakeven analysis, 660buydown rate loans, 635–636comparing loans, 642, 659, 664continuous compounding, 658fixed rate mortgage, 635–636installment loans, 635interest rates, 658internal rate of return, 660loan repayment schedule, 663loan summary table, 663loans analysis, 635minimum attractive rate of return, 660mortgage loans, 635output data sets, 661–662output table names, 664present worth of cost, 660rate adjustment cases, 654taxes, 660true interest rate, 660types of loans, 636

loan repayment scheduleLOAN procedure, 663

loan summary tableLOAN procedure, 663

loans analysisSee LOAN procedure

logtransformations, 1459

log likelihood value, 331log test, 1480log transformation

See transformationslog transformations

ARIMA procedure, 253LOGTEST macro, 138

logarithmictrend curves, 1477

logarithmic trend, 1477logistic

transformations, 1459trend curves, 1477

logistic regression, 32logistic trend, 1477LOGTEST macro

log transformations, 138output data sets, 139SAS macros, 138

M%MA and %AR macros combined, 805MA Initial Conditions

conditional least squares, 798maximum likelihood, 798unconditional least squares, 798

macrosSee SAS macros

main economic indicators (OECD) data filesSee DATASOURCE procedure

main economic indicators (OECD) data files inFAME.db

See SASEFAME enginemanaging

forecasting project, 1398managing forecasting projects, 1398Mapping FAME frequencies to SAS time intervals

SASEFAME engine, 153Mardia’s test, 760

normality tests, 760Marquardt method

ARIMA procedure, 244Marquardt-Levenberg method, 739MARR

See minimum attractive rate of returnmathematical functions, 27

functions, 856matrix language

SAS/IML software, 29maximizing likelihood functions, 34maximum likelihood

AR initial conditions, 797MA Initial Conditions, 798

maximum likelihood methodAUTOREG procedure, 347

mean absolute errorstatistics of fit, 1481

mean absolute percent errorstatistics of fit, 1481

mean percent errorstatistics of fit, 1482

mean prediction error



statistics of fit, 1482mean square error

statistics of fit, 1481MEANS procedure, 26measurement equation

observation equation, 1000of a state space model, 1000

MELO estimation methodSee minimum expected loss estimator

memory requirementsMODEL procedure, 757

menu interfacesto SAS/ETS software, 7, 25

merging seriestime series data, 101

merging time series data sets, 101methods in other SAS products

econometrics, 32Michaelis-Menten Equations, 780midpoint dates of

time intervals, 83MINIC (Minimum Information Criterion) method,

238minimization methods

MODEL procedure, 738minimization summary

MODEL procedure, 741minimum attractive rate of return

LOAN procedure, 660MARR, 660

minimum expected loss estimatorMELO estimation method, 1085SYSLIN procedure, 1085

Minimum Information Criterion (MINIC) method,238

missing observationscontrasted with omitted observations, 54

missing values, 564, 812COMPUTAB procedure, 426contrasted with omitted observations, 54embedded in time series, 53FORECAST procedure, 601interpolation of, 105MODEL procedure, 736, 839smoothing models, 1462time series data, 542time series data and, 53

missing values andtime series data, 53

MISSONLY operator, 565mixed models, 33MMAE, 1460MMSE, 1460model evaluation, 1456Model Identification

ARIMA procedure, 292model list, 1256, 1405MODEL procedure

adjacency graph, 871

adjusted R squared, 738Almon lag polynomials, 808analyzing models, 869ARMA model, 794autoregressive models, 794auxiliary equations, 780block structure, 870character variables, 852Chow tests, 787collinearity diagnostics, 743, 752compiler listing, 867control variables, 850controlling starting values, 746convergence criteria, 739cross-equation covariance matrix, 737cross-reference, 866dependency list, 869derivatives, 855diagnostics and debugging, 864Durbin-Watson, 737dynamic simulation, 775, 821equation translations, 853equation variables, 850estimation convergence problems, 750estimation methods, 726estimation of ordinary differential equations, 777forecasting, 824full information maximum likelihood, 734functions across time, 857goal seeking, 835grid search, 748Hausman specification test, 786initializing lags, 860input data sets, 810internal variables, 851Jacobi method, 838lag functions, 857lag lengths, 859lag logic, 858language differences, 861large problems, 756likelihood confidence intervals, 789limitations on ordinary differential equations, 845linear dependencies, 752memory requirements, 757minimization methods, 738minimization summary, 741missing values, 736, 839model variables, 849Monte Carlo simulation, 906moving average models, 794n-period-ahead forecasting, 822nested iterations, 738Newton’s Method, 838nonadditive errors, 766ordinary differential equations and goal seeking,

781output data sets, 815output table names, 819



parameters, 850polynomial distributed lag models, 808program listing, 865program variables, 852properties of the estimates, 736quasi-random number generators, 826R squared, 738, 746random-number generating functions, 856restrictions on parameters, 804S matrix, 737S-iterated methods, 738Seidel method, 838SIMNLIN procedure, 675simulation, 824solution mode output, 828solution modes, 821, 837SOLVE Data Sets, 846starting values, 742, 750static simulation, 775static simulations, 821stochastic simulation, 824storing programs, 863summary statistics, 831SYSNLIN procedure, 675systems of ordinary differential equations, 903tests on parameters, 784time variable, 780troubleshooting estimation convergence problems,

742troubleshooting simulation problems, 839using models to forecast, 824using solution modes, 821variables in model program, 849

–WEIGHT– variable, 763MODEL procedure and

differencing, 91lags, 91

MODEL procedure versionDIF function, 91LAG function, 91

model selection, 1418model selection criterion, 1316, 1408model selection for X-11-ARIMA method

X11 procedure, 1187model selection list, 1409model variables

MODEL procedure, 849Model Viewer, 1258, 1412

graphs, 1252plots, 1252

Monte Carlo simulation, 824, 906examples, 906MODEL procedure, 906

mortgage loansSee LOAN procedure

moving average function, 857moving average models, 795

MODEL procedure, 794moving averages

percent change calculations, 94moving between computer systems

SAS data sets, 26moving seasonality test, 1196moving time window operators, 562moving-average parameters

ARIMA procedure, 251multiperiod

leads, 95multiperiod differences

differencing, 92multiperiod lagging

lags, 92multiperiod lags and

DIF function, 92LAG function, 92summation, 96–97

multiple selections, 1237multiplicative model

ARIMA model, 212multipliers

SIMLIN procedure, 947–948, 952, 955–956multipliers for higher order lags

SIMLIN procedure, 952, 967multivariate

autocorrelations, 1005normality tests, 760partial autocorrelations, 1025

multivariate forecastingSTATESPACE procedure, 999

multivariate time seriesSTATESPACE procedure, 999

Nn-period-ahead forecasting

MODEL procedure, 822naming

time intervals, 61, 113naming model parameters

ARIMA procedure, 250national accounts data files (OECD)

See DATASOURCE procedurenational accounts data files (OECD) in FAME.db

See SASEFAME enginenational income and product accounts

See DATASOURCE procedurenational income and product accounts tapes

DATASOURCE procedure, 485negative log likelihood function, 734nested iterations

MODEL procedure, 738new features in SAS/ETS software, 11Newton’s Method

MODEL procedure, 838NIPA Tables

DATASOURCE procedure, 485NOMISS operator, 565nonadditive errors




nonlinear hypothesesLagrange multiplier test, 725, 784likelihood ratio test, 725, 785Wald test, 725, 784

nonlinear least-squaresAUTOREG procedure, 347

nonlinear modelsequality restriction, 718, 783functions of parameters, 706inequality restriction, 704, 718, 783left-hand side expressions, 849restricted estimation, 704, 718, 783test of hypotheses, 724

nonmissing observationsstatistics of fit, 1480

nonseasonal ARIMA modelnotation, 1472

nonseasonal transfer functionnotation, 1474

nonstationaritySee stationarity

normality tests, 760Henze-Zirkler test, 760Jarque-Bera test, 332Kolmogorov-Smirnov test, 760Mardia’s test, 760multivariate, 760Shapiro-Wilk test, 760

normalizing dates in intervalsINTNX function, 83

normalizing to intervalsdate values, 83

notation, 1479nonseasonal ARIMA model, 1472nonseasonal transfer function, 1474seasonal ARIMA model, 1473seasonal transfer function, 1475

notation forARIMA model, 206ARMA model, 206

number of observationsstatistics of fit, 1481

number to useinstrumental variables, 791

numerator factorstransfer function model, 217

OOBJECT convergence measure, 739objective function, 726observation equation

See measurement equationobservation numbers, 1436

as time ID, 1272time ID variable, 1272

obtaining descriptive informationDATASOURCE procedure, 453, 456–457, 477–

480ODS

and templates, 168and the NOPRINT option, 173compatibility with Version 6, 174default behavior, 167exclusion list, 170interactive procedures, 171output formats, 167output table names, 168run group processing, 171selection list, 170, 183suppressing displayed output, 173templates, 172trace record, 169with Results window, 171with SAS Explorer, 171

ODS examplescreating an output data set, 185html output, 175, 177output table names, 179, 185selecting output, 181

ODS output destinations, 170definition, 167

ODS output objectsdefinition, 167

ODS path names, 169fully qualified, 169partially qualified, 169

OECD ANA data filesDATASOURCE procedure, 504

OECD annual national accountsDATASOURCE procedure, 504

OECD data filesSee DATASOURCE procedure

OECD data files in FAME.dbSee SASEFAME engine

OECD main economic indicatorsDATASOURCE procedure, 506

OECD MEI data filesDATASOURCE procedure, 506

OECD QNA data filesDATASOURCE procedure, 505

OECD quarterly national accountsDATASOURCE procedure, 505

of a state space modelimpulse response matrix, 1033innovation vector, 1000input matrix, 1000measurement equation, 1000state transition equation, 1000state vector, 999transition equation, 1000transition matrix, 1000

of a time seriesunit root, 136

of interleaved time seriesoverlay plots, 67, 74

of missing valuesinterpolation, 105, 542

of time series



distribution, 544overlay plots, 66, 73sampling frequency, 47, 60, 106simulation, 1364, 1445stationarity, 209summation, 95–96time ranges, 53

of time series data setstandard form, 52time series cross-sectional form, 55

of time series observationsfrequency, 60, 106periodicity, 47, 60, 106

omitted observationscontrasted with missing values, 54defined, 54replacing with missing values, 86

omitted observations intime series data, 54

one-wayfixed effects model, 1126random effects model, 1127

one-way fixed effects model, 1126TSCSREG procedure, 1126

one-way random effects model, 1127TSCSREG procedure, 1127

operations researchSAS/OR software, 31

optimization methodsquasi-Newton, 335trust region, 335

optimizationssmoothing weights, 1463

optionsautomatic model selection, 1372

order of calculationsCOMPUTAB procedure, 420

order statisticsSee RANK procedure

ordinary differential equations (ODEs)and goal seeking, 781differential algebraic equations, 845example, 903explosive differential equations, 845limitations on, 845systems of, 903

ordinary differential equations and goal seekingMODEL procedure, 781

Organization for Economic Cooperation and Develop-ment data files

See DATASOURCE procedureDATASOURCE procedure, 504

Organization for Economic Cooperation and Develop-ment data files in FAME.db

See SASEFAME engineorthogonal polynomials

PDLREG procedure, 915OUT= data set

indexing, 476

OUTALL= data setDATASOURCE procedure, 456

OUTBY= data setDATASOURCE procedure, 456

OUTCONT= data setDATASOURCE procedure, 453, 457

output data setsand the OUTPUT statement, 60ARIMA procedure, 254–256, 259–260AUTOREG procedure, 366–367BOXCOXAR macro, 131COMPUTAB procedure, 426DATASOURCE procedure, 451, 476–480DFTEST macro, 137different forms of, 58EXPAND procedure, 567–568FORECAST procedure, 613, 615in standard form, 60interleaved form, 58LOAN procedure, 661–662LOGTEST macro, 139MODEL procedure, 815PDLREG procedure, 928produced by SAS/ETS procedures, 58SIMLIN procedure, 954–955SPECTRA procedure, 985STATESPACE procedure, 1034–1036SYSLIN procedure, 1090, 1092TSCSREG procedure, 1137X11 procedure, 1190–1191

Output Delivery Systemsee ODS

OUTPUT statementSAS/ETS procedures using, 60

output table namesARIMA procedure, 263AUTOREG procedure, 368LOAN procedure, 664MODEL procedure, 819PDLREG procedure, 930SIMLIN procedure, 957SPECTRA procedure, 987STATESPACE procedure, 1039SYSLIN procedure, 1094TSCSREG procedure, 1140X11 procedure, 1203

over identification restrictionsSYSLIN procedure, 1089

overlay plot oftime series data, 66, 73

overlay plotsof interleaved time series, 67, 74of time series, 66, 73

–TYPE– variable and, 67, 74

Pp-values for

Durbin-Watson test, 313panel data, 33



TSCSREG procedure, 1113parameter change vector, 754parameter estimates, 1262parameter estimation, 1455parameters

MODEL procedure, 850Pareto charts, 31Parks method

TSCSREG procedure, 1114, 1131partial autocorrelations

multivariate, 1025path analysis, 34PDL

See polynomial distributed lagsPDLREG procedure

BY groups, 921confidence limits, 925distributed lag regression models, 915orthogonal polynomials, 915output data sets, 928output table names, 930polynomial distributed lags, 915predicted values, 925residuals, 925restricted estimation, 926

percent change calculationsat annual rates, 93introduced, 92moving averages, 94period-to-period, 92time series data, 92–94year-over-year, 93yearly averages, 93

percent change calculations andDIF function, 92–94differencing, 92–94LAG function, 92–94lags, 92–94

period of evaluation, 1319period of fit, 1319, 1379, 1441period-to-period

percent change calculations, 92periodicity

changing by interpolation, 106, 541of time series observations, 47, 60, 106

periodicity oftime series data, 60, 106

periodicity of time seriestime intervals, 60, 106

periodogramSPECTRA procedure, 975, 986

phase spectrumcross-spectral analysis, 986SPECTRA procedure, 986

Phillips-Ouliaris test, 332, 362Phillips-Perron test, 332, 361

unit roots, 332, 361Phillips-Perron tests, 227pitfalls of

DIF function, 89LAG function, 89

plot axis andtime intervals, 64, 70

plot axis for time seriesGPLOT procedure, 64PLOT procedure, 70

PLOT procedure, 26plot axis for time series, 70plotting time series, 69reference, 70time series data, 69

plot reference lines andtime intervals, 64, 70

plotsSee Model ViewerSee Time Series Viewer

plots ofinterleaved time series, 67, 74

plottingautocorrelations, 195forecasts, 1264prediction errors, 1259residual, 68, 75time series data, 63

plotting time seriesGPLOT procedure, 63PLOT procedure, 69Time Series Viewer procedure, 63

pointinterventions, 1478

point interventions, 1478point-in-time values, 541, 544polynomial distributed lag models

MODEL procedure, 808polynomial distributed lags

Almon lag polynomials, 915endpoint restrictions for, 915, 922PDL, 915PDLREG procedure, 915

power curvetrend curves, 1477

power curve trend, 1477PPC convergence measure, 739Prais-Winsten estimates

AUTOREG procedure, 346PRED. variables, 853predetermined variables

SYSLIN procedure, 1053predicted values

ARIMA procedure, 252AUTOREG procedure, 341, 363–364conditional variance, 365FORECAST procedure, 614PDLREG procedure, 925SIMLIN procedure, 945, 950STATESPACE procedure, 1031, 1034structural, 341, 363, 925SYSLIN procedure, 1077



transformed models, 768predicting

conditional variance, 365prediction errors

autocorrelations, 1260plotting, 1259residuals, 1313stationarity, 1260

predictionssmoothing models, 1462

predictive Chow test, 332, 361predictive Chow tests, 788predictor variables

forecasting models, 1327independent variables, 1327inputs, 1327interventions, 1478seasonal dummies, 1479specifying, 1327trend curves, 1476

present worth of costLOAN procedure, 660

prewhiteningARIMA procedure, 241–242

principal component, 753principal components analysis, 34PRINT procedure, 26

printing SAS data sets, 26SASEFAME engine, 150

print setup, 1419printed output

ARIMA procedure, 261AUTOREG procedure, 368SIMLIN procedure, 956STATESPACE procedure, 1037SYSLIN procedure, 1092TSCSREG procedure, 1139X11 procedure, 1193

printingSAS data sets, 26

printing SAS data setsSee PRINT procedure

probability functions, 28produced by SAS/ETS procedures

output data sets, 58Producer Price Index Survey

See DATASOURCE procedureproducing

forecasts, 1241, 1419producing forecasts, 1419program flow

COMPUTAB procedure, 417program listing

MODEL procedure, 865program variables

MODEL procedure, 852programming statements

COMPUTAB procedure, 414Project Management window

forecasting project, 1246properties of the estimates

MODEL procedure, 736properties of time series, 1281proportional hazards model, 32

Qquadratic

trend curves, 1477quadratic trend, 1477quadrature spectrum

cross-spectral analysis, 986SPECTRA procedure, 986

qualitative dependent variables, 32quasi-Newton

optimization methods, 335quasi-Newton method, 335

AUTOREG procedure, 330quasi-random number generators


RR convergence measure, 739R squared

MODEL procedure, 738, 746R-square statistic

statistics of fit, 1481SYSLIN procedure, 1087

R-squared measure, 1136TSCSREG procedure, 1136

rampinterventions, 1478

ramp functionSee ramp interventions

ramp interventions, 1478ramp function, 1478

Ramsey’s testSee RESET test

random effects modelone-way, 1127two-way, 1129

random effects models, 33random number functions, 28random walk model

AUTOREG procedure, 377random walk R-square

statistics of fit, 1482random-number functions

functions, 856random-number generating functions

MODEL procedure, 856random-walk with drift tests, 227range of output observations

EXPAND procedure, 554RANK procedure, 26

order statistics, 26rate adjustment cases

LOAN procedure, 654rates



contrasted with stocks or levels, 544rational transfer functions

ARIMA procedure, 218reading

time series data, 42, 108reading data files

DATASOURCE procedure, 451reading from a FAME data base

SASEFAME engine, 150reading, with DATA step

time series data, 107recommended for time series ID

formats, 47recursive residuals, 341, 353reduced form coefficients

SIMLIN procedure, 951, 956, 960SYSLIN procedure, 1089

referenceforecasting models, 1320GPLOT procedure, 64PLOT procedure, 70

regression model with ARMA errorsARIMA procedure, 213–214

regressor selection, 1424regressors


relation to ARMA modelsstate space models, 1033

RENAME in the DATA stepSASEFAME engine, 157

renamingSAS data sets, 26

renaming variablesDATASOURCE procedure, 458, 473

replacing with missing valuesomitted observations, 86

represented by different seriescross-sectional dimensions, 54

represented with BY groupscross-sectional dimensions, 55

reserved wordsCOMPUTAB procedure, 426

RESET test, 332Ramsey’s test, 332

RESID. variables, 765–766, 853residual

plotting, 68, 75residual analysis, 1313residuals

See prediction errorsARIMA procedure, 252AUTOREG procedure, 341FORECAST procedure, 614PDLREG procedure, 925SIMLIN procedure, 950STATESPACE procedure, 1035structural, 341, 925SYSLIN procedure, 1077

RESTRICT statement, 337, 718restricted estimates

STATESPACE procedure, 1019restricted estimation, 337

nonlinear models, 704, 718, 783PDLREG procedure, 926SYSLIN procedure, 1078–1079

restricted vector autoregression, 804restrictions on parameters

MODEL procedure, 804RETAIN statement

computing lags, 91RETAIN statement and

differencing, 91lags, 91

root mean square errorstatistics of fit, 1481

row blocksCOMPUTAB procedure, 425

ROWxxxxx: labelCOMPUTAB procedure, 415

RPC convergence measure, 739

SS convergence measure, 739S matrix

definition, 727MODEL procedure, 737

S matrix used in estimation, 737S-iterated methods

MODEL procedure, 738sample data sets, 1222, 1234sampling frequency

changing by interpolation, 106of time series, 47, 60, 106time intervals and, 60

sampling frequency oftime series data, 60, 106

sampling frequency of time seriestime intervals, 60, 106

SAS catalogsSee CATALOG procedure

SAS data setscontents of, 26copying, 26DATA step, 26moving between computer systems, 26printing, 26renaming, 26sorting, 26structured query language, 26summarizing, 26–27transposing, 27

SAS data sets andtime series data, 41

SAS DATA stepSASEFAME engine, 150

SAS language features fortime series data, 41



SAS macrosBOXCOXAR macro, 130DFPVALUE macro, 134DFTEST macro, 136LOGTEST macro, 138macros, 129

SAS output data setSASEFAME engine, 153

SAS representation fordate values, 44datetime values, 45

SAS source statements, 1386SAS YEARCUTOFF= option

DATASOURCE procedure, 471SAS/AF

batch forecasting, 1222customizing user interface, 1222

SAS/CALC software, 30spreadsheets, 30

SAS/ETS procedures usingOUTPUT statement, 60

SAS/GRAPH software, 28graphics, 28

SAS/IML software, 29IML, 29matrix language, 29

SAS/INSIGHT software, 29graphics, 29

SAS/OR software, 31operations research, 31

SAS/QC software, 31statistical quality control, 31

SAS/STAT software, 28SASEFAME engine

CONTENTS procedure, 150convert option, 149–150creating a FAME view, 149DRI data files in FAME.db , 149DRI/McGraw-Hill data files in FAME.db, 149DROP in the DATA step, 157FAME data files, 149FAME Information Services Databases, 149KEEP in the DATA step, 156–157LIBNAME interface engine for FAME databases,

149libname statement, 149main economic indicators (OECD) data files in

FAME.db, 149Mapping FAME frequencies to SAS time intervals,

153national accounts data files (OECD) in FAME.db,

149OECD data files in FAME.db, 149Organization for Economic Cooperation and Devel-

opment data files in FAME.db, 149PRINT procedure, 150reading from a FAME data base, 150RENAME in the DATA step, 157SAS DATA step, 150

SAS output data set, 153SQL procedure,creating a view, 150SQL procedure,using clause, 150viewing a FAME database, 149WHERE in the DATA step, 157

SASHELP library, 1234saving and restoring

forecasting project, 1248SBC

See Schwarz Bayesian criterionSee Schwarz Bayesian information criterion

SCAN (Smallest Canonical) correlation method, 239Schwarz Bayesian criterion

ARIMA procedure, 246AUTOREG procedure, 354SBC, 246

Schwarz Bayesian information criterionBIC, 1482SBC, 1482statistics of fit, 1482

seasonal adjustmenttime series data, 1153X11 procedure, 1153, 1159

seasonal ARIMA modelnotation, 1473

Seasonal ARIMA model options, 1425seasonal component

X11 procedure, 1153seasonal dummies, 1479

predictor variables, 1479seasonal dummy variables


seasonal exponential smoothing, 1468smoothing models, 1468

seasonal forecastingadditive Winters method, 609FORECAST procedure, 605, 609WINTERS method, 605

seasonal modelARIMA model, 212ARIMA procedure, 212

seasonal transfer functionnotation, 1475

seasonal unit root test, 241seasonality

FORECAST procedure, 611testing for, 136

seasonality test, 1480seasonality tests, 1196seasonality, testing for

DFTEST macro, 136second difference

DIF function, 92differencing, 92

See ordinary differential equationsdifferential equations, 777

seemingly unrelated regression, 729cross-equation covariance matrix, 729



joint generalized least squares, 1051SUR estimation method, 1051SYSLIN procedure, 1058, 1086Zellner estimation, 1051

Seidel methodMODEL procedure, 838

selecting from a listforecasting models, 1283

selection criterion, 1408serial correlation correction

AUTOREG procedure, 305series

autocorrelations, 1311series adjustments, 1458series diagnostics, 1281, 1426, 1479series selection, 1427series transformations, 1312SETMISS operator, 565Shapiro-Wilk test, 760

normality tests, 760Shewhart control charts, 31shifted

time intervals, 114shifted intervals

See time intervals, shiftedsignificance probabilities for

Dickey-Fuller test, 134SIMLIN procedure

BY groups, 948dynamic models, 944–945, 952, 967dynamic multipliers, 952dynamic simulation, 945EST= data set, 953ID variables, 949impact multipliers, 952, 956initializing lags, 954interim multipliers, 952, 955–956lags, 954linear structural equations, 951multipliers, 947–948, 952, 955–956multipliers for higher order lags, 952, 967output data sets, 954–955output table names, 957predicted values, 945, 950printed output, 956reduced form coefficients, 951, 956, 960residuals, 950simulation, 945statistics of fit, 957structural equations, 951structural form, 951total multipliers, 948, 952, 955–956TYPE=EST data set, 951

SIMNLIN procedureSee MODEL procedure

simpledata set, 1243

simple exponential smoothing, 1464smoothing models, 1464

simulatingARIMA model, 1364, 1445

simulationMODEL procedure, 824of time series, 1364, 1445SIMLIN procedure, 945time series, 1364, 1445

simultaneous equation bias, 728SYSLIN procedure, 1052

single exponential smoothingSee exponential smoothing

sliding spans analysis, 1180Smallest Canonical (SCAN) correlation method, 239smoothing equations, 1461

smoothing models, 1461smoothing model specification, 1432, 1434smoothing models

calculations, 1461damped-trend exponential smoothing, 1467double exponential smoothing, 1465exponential smoothing, 1461forecasting models, 1287, 1461initializations, 1462linear exponential smoothing, 1466missing values, 1462predictions, 1462seasonal exponential smoothing, 1468simple exponential smoothing, 1464smoothing equations, 1461smoothing state, 1461smoothing weights, 1463specifying, 1287standard errors, 1463underlying model, 1461Winters Method, 1470–1471

smoothing state, 1461smoothing models, 1461

smoothing weights, 1434, 1463additive-invertible region, 1463boundaries, 1463FORECAST procedure, 609optimizations, 1463smoothing models, 1463specifications, 1463weights, 1463

solution mode outputMODEL procedure, 828

solution modesMODEL procedure, 821, 837

SOLVE Data SetsMODEL procedure, 846

SORT procedure, 26sorting, 26

sortingSee SORT procedureforecasting models, 1317, 1384SAS data sets, 26time series data, 48

sorting by



ID variables, 48specification tests

TSCSREG procedure, 1137specifications

smoothing weights, 1463specifying

adjustments, 1334ARIMA models, 1290combination models, 1299custom models, 1292dynamic regression, 1335forecasting models, 1281interventions, 1339level shifts, 1343predictor variables, 1327regressors, 1332seasonal dummy variables, 1347smoothing models, 1287state space models, 1010time ID variable, 1440trend changes, 1341trend curves, 1330

SPECTRA procedureBY groups, 980Chirp-Z algorithm, 982coherency of cross-spectrum, 986cospectrum estimate, 986cross-periodogram, 986cross-spectral analysis, 975–976, 986cross-spectrum, 986fast Fourier transform, 982finite Fourier transform, 975Fourier coefficients, 986Fourier transform, 975frequency, 985kernels, 982output data sets, 985output table names, 987periodogram, 975, 986phase spectrum, 986quadrature spectrum, 986spectral analysis, 975spectral density estimate, 975, 986spectral window, 981white noise test, 984, 987

spectral analysisSPECTRA procedure, 975

spectral density estimateSPECTRA procedure, 975, 986

spectral windowSPECTRA procedure, 981

SPLINE methodEXPAND procedure, 557

splitting seriestime series data, 100

splitting time series data sets, 100spreadsheets

SAS/CALC software, 30SQL procedure, 26

structured query language, 26SQL procedure,creating a view

SASEFAME engine, 150SQL procedure,using clause

SASEFAME engine, 150square root

transformations, 1459square root transformation

See transformationsstable seasonality test, 1196standard errors

smoothing models, 1463standard form

of time series data set, 52standard form of

time series data, 52STANDARD procedure, 26

standardized values, 26standardized values

See STANDARD procedurestarting dates of

time intervals, 83starting values

GARCH model, 330MODEL procedure, 742, 750

state and area employment, hours, and earnings sur-vey

See DATASOURCE procedurestate space models

form of, 999relation to ARMA models, 1033specifying, 1010state vector of, 999STATESPACE procedure, 999

state transition equationof a state space model, 1000

state vectorof a state space model, 999

state vector ofstate space models, 999

STATESPACE procedureautomatic forecasting, 999BY groups, 1018canonical correlation analysis, 1001, 1026confidence limits, 1035differencing, 1020forecasting, 999, 1031ID variables, 1019Kalman filter, 1001multivariate forecasting, 999multivariate time series, 999output data sets, 1034–1036output table names, 1039predicted values, 1031, 1034printed output, 1037residuals, 1035restricted estimates, 1019state space models, 999time intervals, 1017



Yule-Walker equations, 1023static simulation, 775

MODEL procedure, 775static simulations

MODEL procedure, 821stationarity

and state space models, 1003ARIMA procedure, 196nonstationarity, 196of time series, 209prediction errors, 1260testing for, 136

stationarity tests, 227, 241, 332stationarity, testing for

DFTEST macro, 136statistical quality control

SAS/QC software, 31statistics of fit, 1256, 1263, 1435, 1480

adjusted R-square, 1481Akaike’s information criterion, 1482Amemiya’s prediction criterion, 1482Amemiya’s R-square, 1481corrected sum of squares, 1481error sum of squares, 1481goodness of fit, 1263goodness-of-fit statistics, 1480mean absolute error, 1481mean absolute percent error, 1481mean percent error, 1482mean prediction error, 1482mean square error, 1481nonmissing observations, 1480number of observations, 1481R-square statistic, 1481random walk R-square, 1482root mean square error, 1481Schwarz Bayesian information criterion, 1482SIMLIN procedure, 957uncorrected sum of squares, 1481

stepinterventions, 1478

step functionSee step interventionsinterpolation of time series, 558intervention model and, 216

step interventions, 1478step function, 1478

STEP methodEXPAND procedure, 558

STEPAR methodFORECAST procedure, 602

stepwise autoregressionAUTOREG procedure, 315FORECAST procedure, 579, 602

stochastic simulationMODEL procedure, 824

stock data filesSee DATASOURCE procedure

stocks

contrasted with flow variables, 544stored in SAS data sets

time series data, 51storing programs

MODEL procedure, 863structural

predicted values, 341, 363, 925residuals, 341, 925

structural changeChow test for, 330

structural equationsSIMLIN procedure, 951

structural formSIMLIN procedure, 951

structural modelscovariance structure analysis of, 34

structural predictionsAUTOREG procedure, 363

structured query languageSee SQL procedureSAS data sets, 26

subset modelARIMA model, 211ARIMA procedure, 211AUTOREG procedure, 317

subsetting dataSee WHERE statement

subsetting data filesDATASOURCE procedure, 451, 462

summarizingSAS data sets, 26–27

summary oftime intervals, 115

summary statisticsMODEL procedure, 831

summationhigher order sums, 97multiperiod lags and, 96–97of time series, 95–96

summation oftime series data, 95–97

SUR estimation methodSee seemingly unrelated regression

syntax fordate values, 44datetime values, 45time intervals, 61time values, 45

SYSLIN procedureBasmann test, 1077, 1089BY groups, 1075endogenous variables, 1053exogenous variables, 1053full information maximum likelihood, 1061, 1086Fuller’s modification to LIML, 1090instrumental variables, 1053, 1085iterated seemingly unrelated regression, 1086iterated three-stage least squares, 1086jointly dependent variables, 1053



K-class estimation, 1085lagged endogenous variables, 1053limited information maximum likelihood, 1085minimum expected loss estimator, 1085output data sets, 1090, 1092output table names, 1094over identification restrictions, 1089predetermined variables, 1053predicted values, 1077printed output, 1092R-square statistic, 1087reduced form coefficients, 1089residuals, 1077restricted estimation, 1078–1079seemingly unrelated regression, 1058, 1086simultaneous equation bias, 1052system weighted MSE, 1088system weighted R-square, 1087, 1093tests of hypothesis, 1080, 1082three-stage least squares, 1058, 1086two-stage least squares, 1055, 1085

SYSNLIN procedureSee MODEL procedure

system weighted MSESYSLIN procedure, 1088

system weighted R-squareSYSLIN procedure, 1087, 1093

systems ofordinary differential equations (ODEs), 903

systems of differential equationsexamples, 903

systems of ordinary differential equationsMODEL procedure, 903

Tt distribution

GARCH model, 351table cells, direct access to

COMPUTAB procedure, 425TABULATE procedure, 27

tabulating data, 27tabulating data

See TABULATE proceduretaxes

LOAN procedure, 660templates

displaying contents of template, 172in SASUSER library, 172modifying, 172style templates, 172table templates, 172TEMPLATE procedure, 172

test of hypothesesnonlinear models, 724

TEST statement, 338testing for

heteroscedasticity, 317seasonality, 136stationarity, 136

unit root, 136testing order of

differencing, 136testing over-identifying restrictions, 733tests of hypothesis

SYSLIN procedure, 1080, 1082tests of parameters, 338, 724tests on parameters

MODEL procedure, 784three-stage least squares, 730

3SLS estimation method, 1051SYSLIN procedure, 1058, 1086

time functions, 77time ID creation, 1436–1439time ID variable, 1231

creating, 1269ID variable, 1231observation numbers, 1272specifying, 1440

time intervals, 1235alignment of, 114ARIMA procedure, 254calendar calculations and, 87ceiling of, 85checking data periodicity, 86counting, 81, 85data frequency, 1227date values, 113datetime values, 113ending dates of, 83examples of, 117EXPAND procedure, 553EXPAND procedure and, 105FORECAST procedure, 601frequency of data, 1227functions, 125functions for, 80, 125ID values for, 83incrementing dates by, 80–81INTCK function and, 81, 85INTERVAL= option and, 60intervals, 61INTNX function and, 80midpoint dates of, 83naming, 61, 113periodicity of time series, 60, 106plot axis and, 64, 70plot reference lines and, 64, 70sampling frequency of time series, 60, 106shifted, 114starting dates of, 83STATESPACE procedure, 1017summary of, 115syntax for, 61use with SAS/ETS procedures, 61widths of, 84, 553

time intervals andcalendar calculations, 87date values, 83



frequency, 60, 106sampling frequency, 60

time intervals, functionsinterval functions, 80

time intervals, shiftedshifted intervals, 114

time rangeDATASOURCE procedure, 471

time range of dataDATASOURCE procedure, 454

time ranges, 1319, 1378, 1441of time series, 53

time ranges oftime series data, 53

time seriesdefinition, 1222diagnostic tests, 1281in SAS data sets, 1222simulation, 1364, 1445

time series cross-sectional formBY groups and, 55ID variables for, 55of time series data set, 55TSCSREG procedure and, 56, 1113

time series cross-sectional form oftime series data set, 55

time series dataaggregation of, 541, 544changing periodicity, 106, 541converting frequency of, 541differencing, 88–89, 91–94distribution of, 544embedded missing values in, 53giving dates to, 43GPLOT procedure, 63ID variable for, 43interpolation, 106interpolation of, 105–106, 542lagging, 88–89, 91–94leads, 94–95merging series, 101missing values, 542missing values and, 53omitted observations in, 54overlay plot of, 66, 73percent change calculations, 92–94periodicity of, 60, 106PLOT procedure, 69plotting, 63reading, 42, 108reading, with DATA step, 107sampling frequency of, 60, 106SAS data sets and, 41SAS language features for, 41seasonal adjustment, 1153sorting, 48splitting series, 100standard form of, 52stored in SAS data sets, 51

summation of, 95–97time ranges of, 53Time Series Viewer, 63transformation of, 545, 559transposing, 101–102

time series data andmissing values, 53

time series data setinterleaved form of, 56time series cross-sectional form of, 55

time series forecasting, 1443Time Series Forecasting System

invoking, 1353invoking from SAS/AF and SAS/EIS applications,

1353running in unattended mode, 1353

time series methodsFORECAST procedure, 591

time series variablesDATASOURCE procedure, 452, 476

Time Series Viewer, 1252, 1309, 1446graphs, 1252invoking, 1353plots, 1252time series data, 63

Time Series Viewer procedureplotting time series, 63

time trend modelsFORECAST procedure, 589

time valuesdefined, 45formats, 123functions, 125informats, 118syntax for, 45

time variable, 780MODEL procedure, 780

time variablescomputing from datetime values, 79introduced, 77

TIMEPLOT procedure, 27, 76to higher frequency

interpolation, 106to lower frequency

interpolation, 106to SAS/ETS software

menu interfaces, 7, 25to standard form

transposing time series, 101–102Tobit models, 32Toeplitz matrix

AUTOREG procedure, 343total multipliers

SIMLIN procedure, 948, 952, 955–956trading-day component

X11 procedure, 1153, 1159transfer function model

ARIMA procedure, 213, 217, 246denominator factors, 217



numerator factors, 217transfer functions, 1474

forecasting models, 1474transformation of

time series data, 545, 559transformation of time series

EXPAND procedure, 545, 559transformations, 1430

Box Cox, 1459Box Cox transformation, 1459log, 1459log transformation, 1459logistic, 1459square root, 1459square root transformation, 1459

transformed modelspredicted values, 768

transition equationof a state space model, 1000

transition matrixof a state space model, 1000

TRANSPOSE procedure, 27, 101–103, 108transposing SAS data sets, 27

TRANSPOSE procedure andtransposing time series, 101

transposingSAS data sets, 27time series data, 101–102

transposing SAS data setsSee TRANSPOSE procedure

transposing time seriescross-sectional dimensions, 102from interleaved form, 101from standard form, 103to standard form, 101–102TRANSPOSE procedure and, 101

trend changesspecifying, 1341

trend curves, 1476cubic, 1477exponential, 1477forecasting models, 1330hyperbolic, 1477linear, 1477logarithmic, 1477logistic, 1477power curve, 1477predictor variables, 1476quadratic, 1477specifying, 1330

trend cycle componentX11 procedure, 1153, 1159

trend test, 1480TRIM operator, 564TRIMLEFT operator, 564TRIMRIGHT operator, 564triple exponential smoothing

See exponential smoothingtroubleshooting estimation convergence problems

MODEL procedure, 742troubleshooting simulation problems

MODEL procedure, 839true interest rate

LOAN procedure, 660trust region

optimization methods, 335trust region method, 335

AUTOREG procedure, 330TSCSREG procedure

BY groups, 1122Da Silva method, 1114, 1133estimation techniques, 1117generalized least squares, 1131ID variables, 1122linear hypothesis testing, 1136one-way fixed effects model, 1126one-way random effects model, 1127output data sets, 1137output table names, 1140panel data, 1113Parks method, 1114, 1131printed output, 1139R-squared measure, 1136specification tests, 1137two-way fixed effects model, 1126two-way random effects model, 1129Zellner’s two-stage method, 1133

TSCSREG procedure andtime series cross-sectional form, 56, 1113

TSVIEW command, 1353two-stage least squares, 727

2SLS estimation method, 1051SYSLIN procedure, 1055, 1085

two-step full transform methodAUTOREG procedure, 346

two-wayfixed effects model, 1126random effects model, 1129

two-way fixed effects model, 1126TSCSREG procedure, 1126

two-way random effects model, 1129TSCSREG procedure, 1129

type of input data fileDATASOURCE procedure, 464

–TYPE– variableand interleaved time series, 56–57overlay plots, 67, 74

TYPE=EST data setSIMLIN procedure, 951

types of loansLOAN procedure, 636

UU.S. Bureau of Economic Analysis data files

DATASOURCE procedure, 485U.S. Bureau of Labor Statistics data files

DATASOURCE procedure, 486unattended mode, 1353



unconditional forecastsARIMA procedure, 252

unconditional least squaresAR initial conditions, 797MA Initial Conditions, 798

uncorrected sum of squaresstatistics of fit, 1481

underlying modelsmoothing models, 1461

unit rootof a time series, 136testing for, 136

unit rootsPhillips-Perron test, 332, 361

univariate autoregression, 799univariate moving average models, 805UNIVARIATE procedure, 27, 907

descriptive statistics, 27unlinking viewer windows, 1311unrestricted vector autoregression, 801use with SAS/ETS procedures

time intervals, 61used for state space modeling

Kalman filter, 1001used to select state space models

Akaike information criterion, 1024vector autoregressive models, 1022Yule-Walker estimates, 1022

using models to forecastMODEL procedure, 824

using solution modesMODEL procedure, 821

VV matrix

Generalized Method of Moments, 731variable list

DATASOURCE procedure, 475variables in model program

MODEL procedure, 849vector autoregressive models, 804

used to select state space models, 1022vector moving average models, 807viewing a FAME database

See SASEFAME engineviewing time series, 1252

WWald test

nonlinear hypotheses, 725, 784

–WEIGHT– variableMODEL procedure, 763

weightsSee smoothing weights

WHERE in the DATA stepSASEFAME engine, 157

WHERE statementsubsetting data, 27

white noise test

SPECTRA procedure, 984, 987White’s test, 762

heteroscedasticity tests, 762widths of

time intervals, 84, 553Winters Method, 1470–1471Winters method

FORECAST procedure, 579, 605Holt-Winters method, 609

Winters MethodHolt-Winters Method, 1470

WINTERS methodseasonal forecasting, 605

Winters Methodsmoothing models, 1470–1471

World Wide Web site, 1222

XX-11 ARIMA methodology

X11 procedure, 1178X-11 seasonal adjustment method

See X11 procedureX-11-ARIMA seasonal adjustment method

See X11 procedureX11 procedure

BY groups, 1165Census X-11 method, 1153Census X-11 methodology, 1178data requirements, 1184differences with X11ARIMA/88, 1177ID variables, 1165, 1167irregular component, 1153, 1159model selection for X-11-ARIMA method, 1187output data sets, 1190–1191output table names, 1203printed output, 1193seasonal adjustment, 1153, 1159seasonal component, 1153trading-day component, 1153, 1159trend cycle component, 1153, 1159X-11 ARIMA methodology, 1178X-11 seasonal adjustment method, 1153X-11-ARIMA seasonal adjustment method, 1153

YYear 2000 Compliance

date values, 44year-over-year

percent change calculations, 93yearly averages

percent change calculations, 93Yule-Walker

AR initial conditions, 797Yule-Walker equations

AUTOREG procedure, 343STATESPACE procedure, 1023

Yule-Walker estimatesAUTOREG procedure, 342used to select state space models, 1022



Yule-Walker method asgeneralized least-squares, 346

ZZellner estimation

See seemingly unrelated regressionZellner’s two-stage method

TSCSREG procedure, 1133

zooming graphs, 1310


Syntax Index

22SLS option

FIT statement (MODEL), 727PROC SYSLIN statement, 1073

33SLS option

FIT statement (MODEL), 730, 816PROC SYSLIN statement, 1073

AA option

PROC SPECTRA statement, 979A= option

FIXED statement (LOAN), 649ABORT, 862ABS function, 856ADDITIVE option

MONTHLY statement (X11), 1166QUARTERLY statement (X11), 1171

ADF= optionARM statement (LOAN), 653

ADJMEAN optionPROC SPECTRA statement, 979

ADJUSTFREQ= optionARM statement (LOAN), 653

ALIGN= optionFORECAST statement (ARIMA), 232PROC ARIMA statement, 124PROC DATASOURCE statement, 124, 464PROC EXPAND statement, 124, 548, 552PROC FORECAST statement, 124, 595

ALL optionCOMPARE statement (LOAN), 656MODEL statement (AUTOREG), 330MODEL statement (PDLREG), 922MODEL statement (SYSLIN), 1076PROC SYSLIN statement, 1073TEST statement (MODEL), 725

ALPHA= optionFORECAST statement (ARIMA), 232IDENTIFY statement (ARIMA), 224MODEL statement (SYSLIN), 1076PROC FORECAST statement, 596PROC SYSLIN statement, 1073

ALPHACLI= optionOUTPUT statement (AUTOREG), 339OUTPUT statement (PDLREG), 924

ALPHACLM= option

OUTPUT statement (AUTOREG), 339OUTPUT statement (PDLREG), 924

ALPHACSM= optionOUTPUT statement (AUTOREG), 339

ALTPARM optionESTIMATE statement (ARIMA), 228, 248

ALTW optionPROC SPECTRA statement, 979

AMOUNT= optionFIXED statement (LOAN), 649

AMOUNTPCT= optionFIXED statement (LOAN), 649

APCT= optionFIXED statement (LOAN), 649

%AR macro, 803–804AR= option

BOXCOXAR macro, 131DFTEST macro, 136ESTIMATE statement (ARIMA), 230LOGTEST macro, 138PROC FORECAST statement, 596

ARCHTEST optionMODEL statement (AUTOREG), 330

ARCOS function, 856ARIMA statement

X11 procedure, 1162ARM statement

LOAN procedure, 653ARMAX= option

PROC STATESPACE statement, 1015ARSIN function, 856ASCII option

PROC DATASOURCE statement, 464ASTART= option

PROC FORECAST statement, 596AT= option

COMPARE statement (LOAN), 656ATAN function, 856ATTRIBUTE statement

DATASOURCE procedure, 472

BB option

ARM statement (LOAN), 654BACK= option

FORECAST statement (ARIMA), 233PROC STATESPACE statement, 1017

BACKCAST= optionARIMA statement (X11), 1162

1520 � Syntax Index

BACKLIM= optionESTIMATE statement (ARIMA), 231

BACKSTEP optionMODEL statement (AUTOREG), 333

BALLOON statementLOAN procedure, 652

BALLOONPAYMENT= optionBALLOON statement (LOAN), 652

BESTCASE optionARM statement (LOAN), 654

BI optionCOMPARE statement (LOAN), 656

BLOCK optionPROC MODEL statement, 701, 870

BLUS= optionOUTPUT statement (AUTOREG), 339

BOUNDS statementMODEL procedure, 704

BOXCOXARmacro, 131macro variable, 132

BP optionCOMPARE statement (LOAN), 656

BREAKINTEREST optionCOMPARE statement (LOAN), 656

BREAKPAYMENT optionCOMPARE statement (LOAN), 656

BREUSCH= optionFIT statement (MODEL), 712

BSTART= optionPROC FORECAST statement, 596

BUYDOWN statementLOAN procedure, 655

BUYDOWNRATES= optionBUYDOWN statement (LOAN), 655

BY statementARIMA procedure, 224AUTOREG procedure, 328COMPUTAB procedure, 415EXPAND procedure, 549FORECAST procedure, 600MODEL procedure, 705PDLREG procedure, 921SIMLIN procedure, 948SPECTRA procedure, 980STATESPACE procedure, 1018SYSLIN procedure, 1075TSCSREG procedure, 1122X11 procedure, 1165

CCANCORR option

PROC STATESPACE statement, 1015CAPS= option

ARM statement (LOAN), 653CDEC= option

PROC COMPUTAB statement, 408CELL statement

COMPUTAB procedure, 413

CENTER optionARIMA statement (X11), 1163IDENTIFY statement (ARIMA), 224MODEL statement (AUTOREG), 328PROC SPECTRA statement, 979

CEV= optionOUTPUT statement (AUTOREG), 340

CHAR optionCOLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 411

CHARTS= optionMONTHLY statement (X11), 1166QUARTERLY statement (X11), 1171

CHICR= optionARIMA statement (X11), 1162

CHOW= optionFIT statement (MODEL), 788MODEL statement (AUTOREG), 330

CLEAR optionIDENTIFY statement (ARIMA), 224

CLIMIT= optionFORECAST command (TSFS),1353, 1355

COEF optionMODEL statement (AUTOREG), 330PROC SPECTRA statement, 979

COEF= optionHETERO statement (AUTOREG), 336

COLLIN optionFIT statement (MODEL), 712

‘column headings’ optionCOLUMNS statement (COMPUTAB), 410

COLUMNS statementCOMPUTAB procedure, 409

COMPARE statementLOAN procedure, 656

COMPOUND= optionFIXED statement (LOAN), 649

CONST= optionBOXCOXAR macro, 131LOGTEST macro, 138

CONSTANT= optionOUTPUT statement (AUTOREG), 340OUTPUT statement (PDLREG), 924

CONTROL, 895CONTROL statement

MODEL procedure, 706, 849CONVERGE= option

ARIMA statement (X11), 1162ESTIMATE statement (ARIMA), 231FIT statement (MODEL), 714, 739, 748, 750MODEL statement (AUTOREG), 333MODEL statement (PDLREG), 923PROC SYSLIN statement, 1073SOLVE statement (MODEL), 722

CONVERT statementEXPAND procedure, 550

CONVERT= optionLIBNAME statement (SASEFAME), 151

CORR option


Syntax Index � 1521

FIT statement (MODEL), 712MODEL statement (TSCSREG), 1123

CORRB optionESTIMATE statement (MODEL), 707FIT statement (MODEL), 712MODEL statement (AUTOREG), 330MODEL statement (PDLREG), 922MODEL statement (SYSLIN), 1076MODEL statement (TSCSREG), 1123

CORROUT optionPROC TSCSREG statement, 1121

CORRS optionFIT statement (MODEL), 712

COS function, 856COSH function, 856COV option

FIT statement (MODEL), 712COV3OUT option

PROC SYSLIN statement, 1072COVB option

ESTIMATE statement (MODEL), 707FIT statement (MODEL), 712MODEL statement (AUTOREG), 330MODEL statement (PDLREG), 922MODEL statement (SYSLIN), 1076MODEL statement (TSCSREG), 1123PROC STATESPACE statement, 1016

COVBEST= optionFIT statement (MODEL), 709, 735

COVEST= optionMODEL statement (AUTOREG), 330

COVOUT optionFIT statement (MODEL), 711PROC AUTOREG statement, 327PROC SYSLIN statement, 1072PROC TSCSREG statement, 1121

COVS optionFIT statement (MODEL), 712, 737

CPEV= optionOUTPUT statement (AUTOREG), 340

CROSS optionPROC SPECTRA statement, 979

CROSSCORR= optionIDENTIFY statement (ARIMA), 225

CS= optionPROC TSCSREG statement, 1121

CSPACE= optionPROC COMPUTAB statement, 408

CSTART= optionPROC FORECAST statement, 596

CUSUM= optionOUTPUT statement (AUTOREG), 340

CUSUMLB= optionOUTPUT statement (AUTOREG), 340

CUSUMSQ= optionOUTPUT statement (AUTOREG), 340

CUSUMSQLB= optionOUTPUT statement (AUTOREG), 340

CUSUMSQUB= option

OUTPUT statement (AUTOREG), 340CUSUMUB= option

OUTPUT statement (AUTOREG), 340CUTOFF= option

SSPAN statement (X11), 1174CWIDTH= option

PROC COMPUTAB statement, 409

DDASILVA option

MODEL statement (TSCSREG), 1124DATA

DROP, 50IF, 49KEEP, 50WHERE, 49

DATA= optionFIT statement (MODEL), 710, 810FORECAST command (TSFS),1353–1354IDENTIFY statement (ARIMA), 225PROC ARIMA statement, 223PROC AUTOREG statement, 327PROC COMPUTAB statement, 408PROC EXPAND statement, 548PROC FORECAST statement, 596PROC MODEL statement, 700PROC PDLREG statement, 921PROC SIMLIN statement, 947, 954PROC SPECTRA statement, 979PROC STATESPACE statement, 1014PROC SYSLIN statement, 1072PROC TSCSREG statement, 1121PROC X11 statement, 1161SOLVE statement (MODEL), 719, 848TSVIEW command (TSFS),1353–1354

DATEfunction, 125

DATE= optionMONTHLY statement (X11), 1167QUARTERLY statement (X11), 1172

DATEJUL function, 125T, 77

DATEPART function, 79, 125DATETIME

function, 125DAY

function, 78, 125DBNAME= option

PROC DATASOURCE statement, 464DBTYPE= option

PROC DATASOURCE statement, 464DELTA= option

ESTIMATE statement (ARIMA), 231DETAILS option

FIT statement (MODEL), 758PROC MODEL statement, 702

DETTOL= optionPROC STATESPACE statement, 1016

DFPVALUE



macro, 134macro variable, 135, 137

DFTESTmacro, 136

DHMSfunction, 79

DHMS function, 125DIAG= option

FORECAST command (TSFS),1353, 1356DIF

function, 88DIF function

MODEL procedure, 91DIF= option

BOXCOXAR macro, 131DFTEST macro, 136LOGTEST macro, 138

DIMMAX= optionPROC STATESPACE statement, 1016

DIST= optionMODEL statement (AUTOREG), 330

DLAG= optionDFPVALUE macro, 134DFTEST macro, 137

DO, 861DOL option

ROWS statement (COMPUTAB), 412DOWNPAYMENT= option

FIXED statement (LOAN), 650DOWNPAYPCT= option

FIXED statement (LOAN), 650DP= option

FIXED statement (LOAN), 650DPCT= option

FIXED statement (LOAN), 650DROP statement

DATASOURCE procedure, 468DROP= option

FIT statement (MODEL), 709DROPEVENT statement

DATASOURCE procedure, 469DUL option

ROWS statement (COMPUTAB), 412DW option

FIT statement (MODEL), 712MODEL statement (SYSLIN), 1076

DW= optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

DWPROB optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

DYNAMIC optionFIT statement (MODEL), 777–778SOLVE statement (MODEL), 721, 775, 821

EEBCDIC option

PROC DATASOURCE statement, 464

END= optionMONTHLY statement (X11), 1167QUARTERLY statement (X11), 1172

ENDOGENOUS statementMODEL procedure, 706, 849SIMLIN procedure, 949SYSLIN procedure, 1075

ENTRY= optionFORECAST command (TSFS),1353, 1355

ESACF optionIDENTIFY statement (ARIMA), 225

EST= optionPROC SIMLIN statement, 947, 953

ESTDATA= optionFIT statement (MODEL), 710, 810SOLVE statement (MODEL), 719, 825, 846

ESTIMATE statementARIMA procedure, 228MODEL procedure, 706

ESTIMATEDCASE= optionARM statement (LOAN), 654

ESTPRINT optionPROC SIMLIN statement, 947

EXCLUDE= optionFIT statement (MODEL), 792INSTRUMENTS statement (MODEL), 716MONTHLY statement (X11), 1167

EXOGENOUS statementMODEL procedure, 708, 849SIMLIN procedure, 949

EXP function, 856EXPAND procedure

CONVERT statement, 559EXTRAPOLATE option

PROC EXPAND statement, 549

FFACTOR= option

PROC EXPAND statement, 548, 552FAMEPRINT option

PROC DATASOURCE statement, 464FILETYPE= option

PROC DATASOURCE statement, 464FIML option

FIT statement (MODEL), 709, 734, 811, 900PROC SYSLIN statement, 1073

FIRST optionPROC SYSLIN statement, 1073

FIT statementMODEL procedure, 708

FIXED statementLOAN procedure, 648

FIXEDCASE optionARM statement (LOAN), 655

FIXONE optionMODEL statement (TSCSREG), 1123

FIXTWO optionMODEL statement (TSCSREG), 1124

FLOW option



PROC MODEL statement, 702FORECAST command

Time Series Forecasting System, 1353FORECAST option

SOLVE statement (MODEL), 721, 821, 824FORECAST statement

ARIMA procedure, 232FORECAST= option

ARIMA statement (X11), 1163FORM statement

STATESPACE procedure, 1018FORMAT statement

DATASOURCE procedure, 472FORMAT= option

ATTRIBUTE statement (DATASOURCE), 472COLUMNS statement (COMPUTAB), 411ROWS statement (COMPUTAB), 413

FREQUENCY= optionPROC DATASOURCE statement, 466

FROM= optionPROC EXPAND statement, 548, 552

FSRSQ optionFIT statement (MODEL), 713, 729, 794

FULLER optionMODEL statement (TSCSREG), 1124

FULLWEIGHT= optionMONTHLY statement (X11), 1167QUARTERLY statement (X11), 1172

FUZZ= optionPROC COMPUTAB statement, 408

GGARCH= option

MODEL statement (AUTOREG), 328GINV option

MODEL statement (AUTOREG), 331GMM option

FIT statement (MODEL), 709, 730, 765, 811, 814,816

GODFREY optionFIT statement (MODEL), 713MODEL statement (AUTOREG), 331

GRAPH optionPROC MODEL statement, 701, 871

GRID optionESTIMATE statement (ARIMA), 231

GRIDVAL= optionESTIMATE statement (ARIMA), 231

HHAUSMAN option

FIT statement (MODEL), 786HESSIAN= option

FIT statement (MODEL), 714, 735HETERO statement

AUTOREG procedure, 335HMS

function, 79HMS function, 125

HORIZON= optionFORECAST command (TSFS),1353, 1355

HOURfunction, 125

HT= optionOUTPUT statement (AUTOREG), 340

II option

FIT statement (MODEL), 713, 754MODEL statement (PDLREG), 923MODEL statement (SYSLIN), 1076

ID statementEXPAND procedure, 551FORECAST procedure, 600MODEL procedure, 715SIMLIN procedure, 949STATESPACE procedure, 1019TSCSREG procedure, 1122X11 procedure, 1165

ID= optionFORECAST command (TSFS),1353–1354FORECAST statement (ARIMA), 233TSVIEW command (TSFS),1353–1354

IDENTIFY statementARIMA procedure, 224

IDENTITY statementSYSLIN procedure, 1075

IF, 861INCLUDE, 864INCLUDE statement

MODEL procedure, 715INDEX option

PROC DATASOURCE statement, 465INFILE= option

PROC DATASOURCE statement, 465INIT statement

COMPUTAB procedure, 413INIT= option

FIXED statement (LOAN), 650INITIAL statement

STATESPACE procedure, 1019INITIAL=

SOLVE statement (MODEL), 723INITIAL= option

FIT statement (MODEL), 709, 779FIXED statement (LOAN), 650MODEL statement (AUTOREG), 333

INITIALPCT= optionFIXED statement (LOAN), 650

INITMISS optionPROC COMPUTAB statement, 408

INITPCT= optionFIXED statement (LOAN), 650

INITVAL= optionESTIMATE statement (ARIMA), 230

INPUT= optionESTIMATE statement (ARIMA), 228, 248

INSTRUMENTS statement



MODEL procedure, 715, 791SYSLIN procedure, 1075

INTCKfunction, 81

INTCK function, 125INTERIM= option

PROC SIMLIN statement, 947INTERVAL= option

FIXED statement (LOAN), 650FORECAST command (TSFS),1353, 1355FORECAST statement (ARIMA), 233, 254PROC DATASOURCE statement, 466PROC FORECAST statement, 596PROC STATESPACE statement, 1017TSVIEW command (TSFS),1353, 1355

INTGPRINT optionSOLVE statement (MODEL), 723

INTNXfunction, 80

INTNX function, 125INTPER= option

PROC FORECAST statement, 596PROC STATESPACE statement, 1017

IT2SLS optionFIT statement (MODEL), 710

IT3SLS optionFIT statement (MODEL), 710PROC SYSLIN statement, 1073

ITALL optionFIT statement (MODEL), 713, 755

ITDETAILS optionFIT statement (MODEL), 713, 754

ITGMM optionFIT statement (MODEL), 709, 733

ITOLS optionFIT statement (MODEL), 709

ITPRINT optionFIT statement (MODEL), 713, 747, 754MODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923PROC STATESPACE statement, 1016PROC SYSLIN statement, 1073SOLVE statement (MODEL), 723, 842

ITSUR optionFIT statement (MODEL), 710, 729PROC SYSLIN statement, 1073

JJACOBI option

SOLVE statement (MODEL), 721JULDATE function, 78, 125

KK option

PROC SPECTRA statement, 979K= option

MODEL statement (SYSLIN), 1076PROC SYSLIN statement, 1073

KEEP statement

DATASOURCE procedure, 467KEEP= option

FORECAST command (TSFS),1353, 1356KEEPEVENT statement

DATASOURCE procedure, 469KERNEL option

FIT statement (MODEL), 814KERNEL= option

FIT statement (MODEL), 710, 731KLAG= option

PROC STATESPACE statement, 1016

LL= option

FIXED statement (LOAN), 649

–LABEL– optionCOLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 411

LABEL statementDATASOURCE procedure, 473MODEL procedure, 716

LABEL= optionATTRIBUTE statement (DATASOURCE), 472FIXED statement (LOAN), 650

LAGfunction, 88

LAG functionMODEL procedure, 91

LAGDEP optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

LAGDEP= optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

LAGDV optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

LAGDV= optionMODEL statement (AUTOREG), 331MODEL statement (PDLREG), 923

LAGGED statementSIMLIN procedure, 949

LAGMAX= optionPROC STATESPACE statement, 1015

LAGRANGE optionTEST statement (MODEL), 725

LAMBDAHI= optionBOXCOXAR macro, 131

LAMBDALO= optionBOXCOXAR macro, 131

LCL= optionOUTPUT statement (AUTOREG), 340OUTPUT statement (PDLREG), 925

LCLM= optionOUTPUT statement (AUTOREG), 340OUTPUT statement (PDLREG), 925

LDW optionMODEL statement (AUTOREG), 334

LEAD= option



FORECAST statement (ARIMA), 233PROC FORECAST statement, 597PROC STATESPACE statement, 1017

LENGTH optionMONTHLY statement (X11), 1168

LENGTH statementDATASOURCE procedure, 473

LENGTH= optionATTRIBUTE statement (DATASOURCE), 472

LIBNAME libref SASEFAME statement, 151LIFE= option

FIXED statement (LOAN), 649LIKE option

TEST statement (MODEL), 725LIML option

PROC SYSLIN statement, 1073LINK= option

HETERO statement (AUTOREG), 336LIST option

FIT statement (MODEL), 889PROC MODEL statement, 701, 865

LISTALL optionPROC MODEL statement, 702

LISTCODE optionPROC MODEL statement, 702, 867

LISTDEP optionPROC MODEL statement, 702, 869

LISTDER optionPROC MODEL statement, 702

LJC optionCOLUMNS statement (COMPUTAB), 411ROWS statement (COMPUTAB), 413

LM optionTEST statement (MODEL), 725

LOG function, 856LOG10 function, 856LOG2 function, 856LOGLIKL option

MODEL statement (AUTOREG), 331LOGTEST

macro, 138macro variable, 139

LR optionTEST statement (MODEL), 725

LRECL= optionPROC DATASOURCE statement, 465

LTEBOUND= optionFIT statement (MODEL), 714, 844MODEL statement (MODEL), 844SOLVE statement (MODEL), 844

MM= option

MODEL statement (TSCSREG), 1124%MA macro, 806–807MA= option

ESTIMATE statement (ARIMA), 231MACURVES statement

X11 procedure, 1165

MAPECR= optionARIMA statement (X11), 1163

MARR= optionCOMPARE statement (LOAN), 656

MAXAD= optionARM statement (LOAN), 653

MAXADJUST= optionARM statement (LOAN), 653

MAXERRORS= optionPROC MODEL statement, 702

MAXIT=PROC SYSLIN statement, 1074

MAXIT= optionESTIMATE statement (ARIMA), 232PROC STATESPACE statement, 1016

MAXITER= optionARIMA statement (X11), 1163ESTIMATE statement (ARIMA), 232FIT statement (MODEL), 714MODEL statement (AUTOREG), 334MODEL statement (PDLREG), 923PROC SYSLIN statement, 1074SOLVE statement (MODEL), 723

MAXR= optionARM statement (LOAN), 653

MAXRATE= optionARM statement (LOAN), 653

MAXSUBITER= optionFIT statement (MODEL), 714, 739SOLVE statement (MODEL), 723

MDYfunction, 77

MDY function, 126MEAN= option

MODEL statement (AUTOREG), 329MELO option

PROC SYSLIN statement, 1073MEMORYUSE option

PROC MODEL statement, 703METHOD= option

ARIMA statement (X11), 1163CONVERT statement (EXPAND), 550, 557FIT statement (MODEL), 714, 738MODEL statement (AUTOREG), 334MODEL statement (PDLREG), 923PROC EXPAND statement, 549, 557PROC FORECAST statement, 597

METHOD=CLS optionESTIMATE statement (ARIMA), 229

METHOD=ML optionESTIMATE statement (ARIMA), 229

METHOD=ULS optionESTIMATE statement (ARIMA), 229

MINIC optionIDENTIFY statement (ARIMA), 225PROC STATESPACE statement, 1015

MINR= optionARM statement (LOAN), 654

MINRATE= option



ARM statement (LOAN), 654MINTIMESTEP= option

FIT statement (MODEL), 714, 844MODEL statement (MODEL), 844SOLVE statement (MODEL), 844

MINUTEfunction, 126

MISSING= optionFIT statement (MODEL), 711

MODEL statementAUTOREG procedure, 328PDLREG procedure, 922SYSLIN procedure, 1076TSCSREG procedure, 1123

MODEL= optionARIMA statement (X11), 1163PROC MODEL statement, 701, 864

MONTHfunction, 78, 126

MONTHLY statementX11 procedure, 1166

MTITLE= optionCOLUMNS statement (COMPUTAB), 410

MU= optionESTIMATE statement (ARIMA), 231

N+n option

COLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 412

N2SLS | 2SLS optionFIT statement (MODEL), 710

N3SLS | 3SLS optionFIT statement (MODEL), 710

NAHEAD= optionSOLVE statement (MODEL), 721, 821–822

–NAME– optionCOLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 411

NDEC= optionMONTHLY statement (X11), 1168PROC MODEL statement, 702QUARTERLY statement (X11), 1173SSPAN statement (X11), 1174

NESTIT optionFIT statement (MODEL), 714, 738

NEWTON optionSOLVE statement (MODEL), 721

NLAG= optionIDENTIFY statement (ARIMA), 226MODEL statement (AUTOREG), 328MODEL statement (PDLREG), 923

NLAGS= optionPROC FORECAST statement, 596

NLAMBDA= optionBOXCOXAR macro, 131

NO2SLS optionFIT statement (MODEL), 709

NOCENTER option

PROC STATESPACE statement, 1015NOCOMPRINT option

COMPARE statement (LOAN), 657NOCONST option

HETERO statement (AUTOREG), 337NOCONSTANT option

ESTIMATE statement (ARIMA), 229NODF option

ESTIMATE statement (ARIMA), 229NOEST option

ESTIMATE statement (ARIMA), 231PROC STATESPACE statement, 1016

NOINCLUDE optionPROC SYSLIN statement, 1074

NOINT optionARIMA statement (X11), 1163ESTIMATE statement (ARIMA), 229INSTRUMENTS statement (MODEL), 716MODEL statement (AUTOREG), 328, 330MODEL statement (PDLREG), 924MODEL statement (SYSLIN), 1076MODEL statement (TSCSREG), 1124

NOINTERCEPT optionINSTRUMENTS statement (MODEL), 716

NOLS optionESTIMATE statement (ARIMA), 232

NOMEAN optionMODEL statement (TSCSREG), 1124

NOMISS optionIDENTIFY statement (ARIMA), 226MODEL statement (AUTOREG), 335

NOOLS optionFIT statement (MODEL), 709

NOOUTALL optionFORECAST statement (ARIMA), 233

NOP optionFIXED statement (LOAN), 652

NOPRINT optionARIMA statement (X11), 1164COLUMNS statement (COMPUTAB), 410ESTIMATE statement (ARIMA), 229FIXED statement (LOAN), 652FORECAST statement (ARIMA), 233IDENTIFY statement (ARIMA), 226MODEL statement (AUTOREG), 332MODEL statement (PDLREG), 924MODEL statement (SYSLIN), 1077MODEL statement (TSCSREG), 1124PROC COMPUTAB statement, 409PROC MODEL statement, 703PROC SIMLIN statement, 947PROC STATESPACE statement, 1014PROC SYSLIN statement, 1074PROC X11 statement, 1161ROWS statement (COMPUTAB), 412SSPAN statement (X11), 1174

NORED optionPROC SIMLIN statement, 947

NORMAL option



FIT statement (MODEL), 713MODEL statement (AUTOREG), 332

NORTR optionPROC COMPUTAB statement, 409

NOSTABLE optionESTIMATE statement (ARIMA), 232

NOSTORE optionPROC MODEL statement, 701

NOSUMMARYPRINT optionFIXED statement (LOAN), 652

NOSUMPR optionFIXED statement (LOAN), 652

NOTRANS optionPROC COMPUTAB statement, 408

NOTRANSPOSE optionPROC COMPUTAB statement, 408

NOZERO optionCOLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 412

NSSTART= MAX optionPROC FORECAST statement, 597

NSSTART= optionPROC FORECAST statement, 597

NSTART= MAX optionPROC FORECAST statement, 597

NSTART= optionPROC FORECAST statement, 597

OOBSERVED= option

CONVERT statement (EXPAND), 550, 555PROC EXPAND statement, 549

ODS EXCLUDE statement, 170ODS HTML statement, 177ODS OUTPUT statement, 185–186

data set options, 186ODS PATH statement, 172ODS SELECT statement, 170, 181ODS SHOW statement, 172, 181ODS TRACE statement, 169, 179–180, 186

listing interleaved with trace record, 180LISTING option, 169, 179

OL optionROWS statement (COMPUTAB), 412

OLS optionFIT statement (MODEL), 710, 873PROC SYSLIN statement, 1073

ONEPASS optionSOLVE statement (MODEL), 722

OPTIONS optionPROC COMPUTAB statement, 409

OPTMETHOD= optionMODEL statement (AUTOREG), 335

OTHERWISE, 862OUT= option

BOXCOXAR macro, 131DFTEST macro, 137FIT statement (MODEL), 711, 815, 874FIXED statement (LOAN), 652, 661

FORECAST command (TSFS),1353, 1356FORECAST statement (ARIMA), 234, 254LOGTEST macro, 139OUTPUT statement (AUTOREG), 339OUTPUT statement (PDLREG), 924OUTPUT statement (SIMLIN), 950OUTPUT statement (SYSLIN), 1090OUTPUT statement (X11), 1170, 1190PROC ARIMA statement, 223PROC COMPUTAB statement, 409PROC DATASOURCE statement, 466, 476PROC EXPAND statement, 548, 567PROC FORECAST statement, 598, 613PROC SIMLIN statement, 955PROC SPECTRA statement, 980, 985PROC STATESPACE statement, 1017, 1034PROC SYSLIN statement, 1072SOLVE statement (MODEL), 720, 825, 847TEST statement (MODEL), 725

OUT1STEP optionPROC FORECAST statement, 598

OUTACTUAL optionFIT statement (MODEL), 711PROC FORECAST statement, 598SOLVE statement (MODEL), 720

OUTALL optionFIT statement (MODEL), 711PROC FORECAST statement, 598SOLVE statement (MODEL), 720

OUTALL= optionPROC DATASOURCE statement, 466, 479

OUTAR= optionPROC STATESPACE statement, 1015, 1035

OUTBY= optionPROC DATASOURCE statement, 466, 478

OUTCOMP= optionCOMPARE statement (LOAN), 657, 661

OUTCONT= optionPROC DATASOURCE statement, 466, 477

OUTCORR optionESTIMATE statement (ARIMA), 230PROC TSCSREG statement, 1121

OUTCOV optionESTIMATE statement (ARIMA), 230ESTIMATE statement (MODEL), 707FIT statement (MODEL), 711PROC SYSLIN statement, 1072PROC TSCSREG statement, 1121

OUTCOV= optionIDENTIFY statement (ARIMA), 226, 255

OUTCOV3 optionPROC SYSLIN statement, 1072

OUTERRORS optionSOLVE statement (MODEL), 720

OUTEST= optionESTIMATE statement (ARIMA), 230, 256ESTIMATE statement (MODEL), 707FIT statement (MODEL), 711, 817PROC AUTOREG statement, 327



PROC EXPAND statement, 548, 568PROC FORECAST statement, 598, 615PROC SIMLIN statement, 947, 954PROC SYSLIN statement, 1072, 1090PROC TSCSREG statement, 1121, 1137

OUTESTALL optionPROC FORECAST statement, 598

OUTESTTHEIL optionPROC FORECAST statement, 598

OUTEVENT= optionPROC DATASOURCE statement, 467, 480

OUTEXTRAP optionPROC X11 statement, 1161

OUTFITSTATS optionPROC FORECAST statement, 598

OUTFULL optionPROC FORECAST statement, 598

OUTLAGS optionFIT statement (MODEL), 711SOLVE statement (MODEL), 720

OUTLIMIT optionPROC FORECAST statement, 598

OUTMODEL= optionESTIMATE statement (ARIMA), 230, 259PROC MODEL statement, 701, 863PROC STATESPACE statement, 1016, 1036

OUTPARMS= optionFIT statement (MODEL), 817PROC MODEL statement, 701, 813

OUTPREDICT optionFIT statement (MODEL), 711SOLVE statement (MODEL), 720

OUTPUTOUT=, 366

OUTPUT statementAUTOREG procedure, 339PDLREG procedure, 924SIMLIN procedure, 950SYSLIN procedure, 1077X11 procedure, 1170

OUTRESID optionFIT statement (MODEL), 711, 874PROC FORECAST statement, 598SOLVE statement (MODEL), 720

OUTS= optionFIT statement (MODEL), 711, 737, 818

OUTSELECT= optionPROC DATASOURCE statement, 467

OUTSPAN= optionPROC X11 statement, 1161, 1190VAR statement (X11), 1190

OUTSSCP= optionPROC SYSLIN statement, 1072, 1092

OUTSTAT= optionDFTEST macro, 137ESTIMATE statement (ARIMA), 230, 260

OUTSTB= optionPROC X11 statement, 1161, 1191

OUTSTD option

PROC FORECAST statement, 598OUTSUM= option

FIXED statement (LOAN), 652PROC LOAN statement, 648, 662

OUTSUSED= optionFIT statement (MODEL), 711, 737, 818

OUTTDR= optionPROC X11 statement, 1162, 1191

OUTV= optionFIT statement (MODEL), 711, 814, 818

OUTVARS statementMODEL procedure, 717

OVDIFCR= optionARIMA statement (X11), 1164

OVERID optionMODEL statement (SYSLIN), 1077

OVERPRINT optionROWS statement (COMPUTAB), 412

PP option

PROC SPECTRA statement, 980P= option

ESTIMATE statement (ARIMA), 229FIXED statement (LOAN), 649IDENTIFY statement (ARIMA), 226MODEL statement (AUTOREG), 329OUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925OUTPUT statement (SIMLIN), 950

–PAGE– optionCOLUMNS statement (COMPUTAB), 410ROWS statement (COMPUTAB), 412

PARAMETERS statementMODEL procedure, 717, 849

PARKS optionMODEL statement (TSCSREG), 1124

PARMS= optionFIT statement (MODEL), 709

PARMSDATA= optionPROC MODEL statement, 701, 813SOLVE statement (MODEL), 720

PARMTOL= optionPROC STATESPACE statement, 1016

PARTIAL optionMODEL statement (AUTOREG), 332MODEL statement (PDLREG), 924

PASTMIN= optionPROC STATESPACE statement, 1016

PAYMENT= optionFIXED statement (LOAN), 649

PCHOW= optionFIT statement (MODEL), 788MODEL statement (AUTOREG), 332

%PDL macro, 809PDWEIGHTS statement

X11 procedure, 1170PERROR= option

IDENTIFY statement (ARIMA), 226



PH optionPROC SPECTRA statement, 980

PHI optionMODEL statement (TSCSREG), 1124

PLOTHAXIS=, 64, 70HREF=, 65, 71–72VREF=, 75

PLOT optionESTIMATE statement (ARIMA), 229MODEL statement (SYSLIN), 1077

PM= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

PMFACTOR= optionMONTHLY statement (X11), 1168

PNT= optionFIXED statement (LOAN), 650

PNTPCT= optionFIXED statement (LOAN), 651

POINTPCT= optionFIXED statement (LOAN), 651

POINTS= optionFIXED statement (LOAN), 650

PRC= optionFIXED statement (LOAN), 651

PREDICTED= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925OUTPUT statement (SIMLIN), 950OUTPUT statement (SYSLIN), 1077

PREDICTEDM= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

PREPAYMENTS= optionFIXED statement (LOAN), 651

PRICE= optionFIXED statement (LOAN), 651

PRINT optionPROC STATESPACE statement, 1017SSPAN statement (X11), 1174STEST statement (SYSLIN), 1082TEST statement (SYSLIN), 1083

PRINT= optionBOXCOXAR macro, 131LOGTEST macro, 139

PRINTALL optionARIMA statement (X11), 1164ESTIMATE statement (ARIMA), 232FIT statement (MODEL), 713FORECAST statement (ARIMA), 234PROC MODEL statement, 703SOLVE statement (MODEL), 723SSPAN statement (X11), 1174

PRINTFP optionARIMA statement (X11), 1164

PRINTOUT= optionMONTHLY statement (X11), 1168PROC STATESPACE statement, 1015

QUARTERLY statement (X11), 1173PRL= option

FIT statement (MODEL), 709, 789WEIGHT statement (MODEL), 789

PROBDFmacro, 141

PROC ARIMA statement, 223PROC AUTOREG

OUTEST=, 367PROC AUTOREG statement, 327PROC COMPUTAB

NOTRANS, 417OUT=, 426

PROC COMPUTAB statement, 408PROC DATASOURCE statement, 464PROC EXPAND statement, 548PROC FORECAST statement, 595PROC LOAN statement, 648PROC MODEL statement, 700PROC PDLREG statement, 921PROC SIMLIN statement, 947PROC SPECTRA statement, 979PROC STATESPACE statement, 1014PROC SYSLIN statement, 1072PROC TSCSREG statement, 1121PROC X11 statement, 1161PROJECT= option

FORECAST command (TSFS),1353–1354PURGE option

RESET statement (MODEL), 718PUT, 861PWC option

COMPARE statement (LOAN), 657PWOFCOST option

COMPARE statement (LOAN), 657

QQ= option

ESTIMATE statement (ARIMA), 230IDENTIFY statement (ARIMA), 226MODEL statement (AUTOREG), 329

QTRfunction, 126

QUARTERLY statementX11 procedure, 1171

QUASI= optionSOLVE statement (MODEL), 722

RR= option

FIXED statement (LOAN), 649OUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925OUTPUT statement (SIMLIN), 950

RANDOM= optionSOLVE statement (MODEL), 722, 825, 833

RANGE, 851RANGE statement

DATASOURCE procedure, 471



MODEL procedure, 717RANONE option

MODEL statement (TSCSREG), 1124RANTWO option

MODEL statement (TSCSREG), 1124RAO option

TEST statement (MODEL), 725RATE= option

FIXED statement (LOAN), 649RECFM= option

PROC DATASOURCE statement, 465RECPEV= option

OUTPUT statement (AUTOREG), 341RECRES= option

OUTPUT statement (AUTOREG), 341REDUCED option

PROC SYSLIN statement, 1074REEVAL option

FORECAST command (TSFS),1353, 1356REFIT option

FORECAST command (TSFS),1353, 1356RENAME statement

DATASOURCE procedure, 473RESET option

MODEL statement (AUTOREG), 332RESET statement

MODEL procedure, 718RESIDEST option

PROC STATESPACE statement, 1017RESIDUAL= option

OUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925OUTPUT statement (SIMLIN), 950OUTPUT statement (SYSLIN), 1077

RESIDUALM= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

RESTRICT statementAUTOREG procedure, 337MODEL procedure, 718PDLREG procedure, 926STATESPACE procedure, 1019SYSLIN procedure, 1078

RETAIN statementMODEL procedure, 863

RHO optionMODEL statement (TSCSREG), 1124

RM= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

ROUND= NONE optionFIXED statement (LOAN), 651

ROUND= optionFIXED statement (LOAN), 651

‘row titles’ optionROWS statement (COMPUTAB), 412

ROWS statementCOMPUTAB procedure, 411

RTS= option

PROC COMPUTAB statement, 409

SS option

PROC SPECTRA statement, 980SATISFY= option

SOLVE statement (MODEL), 719SCAN option

IDENTIFY statement (ARIMA), 226SCHEDULE option

FIXED statement (LOAN), 652SCHEDULE= option

FIXED statement (LOAN), 652SCHEDULE= YEARLY option

FIXED statement (LOAN), 652SDATA= option

FIT statement (MODEL), 712, 813, 877SOLVE statement (MODEL), 720, 825, 846

SDIAG optionPROC SYSLIN statement, 1074

SEASONS= optionPROC FORECAST statement, 599

SECONDfunction, 126

SEED= optionSOLVE statement (MODEL), 722, 825

SEIDEL optionSOLVE statement (MODEL), 722

SELECT, 862SIGCORR= option

PROC STATESPACE statement, 1016SIGSQ= option

FORECAST statement (ARIMA), 234SIMPLE option

PROC SYSLIN statement, 1074SIMULATE option

SOLVE statement (MODEL), 721SIN function, 856SINGLE option

SOLVE statement (MODEL), 722, 837SINGULAR= option

ESTIMATE statement (ARIMA), 232FIT statement (MODEL), 714MODEL statement (TSCSREG), 1124PROC FORECAST statement, 599PROC STATESPACE statement, 1017PROC SYSLIN statement, 1074

SINH function, 856SINTPER= option

PROC FORECAST statement, 599SKIP option

ROWS statement (COMPUTAB), 412SLENTRY= option

PROC FORECAST statement, 599SLSTAY= option

MODEL statement (AUTOREG), 333PROC FORECAST statement, 599

SOLVE statementMODEL procedure, 719



SOLVEPRINT optionSOLVE statement (MODEL), 723

SQRT function, 856SRESTRICT statement

SYSLIN procedure, 1079SSPAN statement

X11 procedure, 1174START= option

FIT statement (MODEL), 709, 746, 873FIXED statement (LOAN), 651MODEL statement (AUTOREG), 333MONTHLY statement (X11), 1168PROC FORECAST statement, 599PROC SIMLIN statement, 948QUARTERLY statement (X11), 1173SOLVE statement (MODEL), 721

STARTITER optionFIT statement (MODEL), 747

STARTITER= optionFIT statement (MODEL), 715

STARTUP= optionMODEL statement (AUTOREG), 330

STAT= optionFORECAST command (TSFS),1353, 1355

STATIC optionFIT statement (MODEL), 777SOLVE statement (MODEL), 721, 775, 821

STATIONARITY= optionIDENTIFY statement (ARIMA), 227MODEL statement (AUTOREG), 332

STATS optionSOLVE statement (MODEL), 723, 831

STB optionMODEL statement (PDLREG), 924MODEL statement (SYSLIN), 1077

STD= optionHETERO statement (AUTOREG), 336

STEST statementSYSLIN procedure, 1080

SUMBY statementCOMPUTAB procedure, 415

SUMMARY optionMONTHLY statement (X11), 1169QUARTERLY statement (X11), 1173

SUMONLY optionPROC COMPUTAB statement, 409

SUR optionFIT statement (MODEL), 710, 729, 875PROC SYSLIN statement, 1073

TTABLES statement

X11 procedure, 1175TAN function, 856TANH function, 856TAX= option

COMPARE statement (LOAN), 657TAXRATE= option

COMPARE statement (LOAN), 657

TDCOMPUTE= optionMONTHLY statement (X11), 1169

TDCUTOFF= optionSSPAN statement (X11), 1174

TDREGR= optionMONTHLY statement (X11), 1169

TEST statementAUTOREG procedure, 338MODEL procedure, 724SYSLIN procedure, 1082

TEST= optionHETERO statement (AUTOREG), 337

THEIL optionSOLVE statement (MODEL), 723, 831

TI optionCOMPARE statement (LOAN), 657

TIMEfunction, 126

TIME= optionFIT statement (MODEL), 712, 780SOLVE statement (MODEL), 780

TIMEPART function, 79, 126TIN=, 550

–TITLES– optionCOLUMNS statement (COMPUTAB), 410

TO= optionPROC EXPAND statement, 548, 552

TODAY function, 126TOTAL option

PROC SIMLIN statement, 948TOUT=, 551TR option

MODEL statement (AUTOREG), 330TRACE option

PROC MODEL statement, 703TRANSFORM=, 550TRANSFORM= option

ARIMA statement (X11), 1164OUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

TRANSFORMIN= optionCONVERT statement (EXPAND), 550, 559

TRANSFORMOUT= optionCONVERT statement (EXPAND), 551, 559

TRANSIN=, 550TRANSOUT=, 551TRANSPOSE procedure, 101TREND= option

DFPVALUE macro, 134DFTEST macro, 137PROC FORECAST statement, 599

TRENDADJ optionMONTHLY statement (X11), 1169QUARTERLY statement (X11), 1173

TRENDMA= optionMONTHLY statement (X11), 1169

TRUEINTEREST optionCOMPARE statement (LOAN), 657

TS= option



PROC TSCSREG statement, 1121TSVIEW command

Time Series Forecasting System, 1353TYPE= option

FIT statement (MODEL), 712MODEL statement (AUTOREG), 329PROC DATASOURCE statement, 466PROC SIMLIN statement, 948SOLVE statement (MODEL), 720TEST statement (AUTOREG), 338

UUCL= option

OUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

UCLM= optionOUTPUT statement (AUTOREG), 341OUTPUT statement (PDLREG), 925

UL optionROWS statement (COMPUTAB), 412

UNREST optionMODEL statement (SYSLIN), 1077

URSQ optionMODEL statement (AUTOREG), 333

USSCP optionPROC SYSLIN statement, 1074

USSCP2 optionPROC SYSLIN statement, 1074

VV5MODEL= option

PROC MODEL statement, 701VAR option

MODEL statement (TSCSREG), 1123VAR statement

FORECAST procedure, 600MODEL procedure, 725, 849SPECTRA procedure, 980STATESPACE procedure, 1020SYSLIN procedure, 1083X11 procedure, 1175

VAR= optionFORECAST command (TSFS),1353–1354IDENTIFY statement (ARIMA), 228TSVIEW command (TSFS),1353–1354

VARDEF= optionFIT statement (MODEL), 710, 731, 737PROC SYSLIN statement, 1074

VDATA= optionFIT statement (MODEL), 712, 814

WW option

ARM statement (LOAN), 655WALD option

TEST statement (MODEL), 725WEEKDAY

function, 78WEEKDAY function, 126

WEIGHT statement, 763MODEL procedure, 725SYSLIN procedure, 1083

WEIGHT= optionPROC FORECAST statement, 599

WEIGHTS statementSPECTRA procedure, 981

WHEN, 862WHERE statement

DATASOURCE procedure, 470WHITE option

FIT statement (MODEL), 713WHITETEST option

PROC SPECTRA statement, 980WILDCARD= option

LIBNAME statement (SASEFAME), 151WORSTCASE option

ARM statement (LOAN), 655

XXPX option

FIT statement (MODEL), 713, 754MODEL statement (PDLREG), 924MODEL statement (SYSLIN), 1077

XREF optionPROC MODEL statement, 702, 866

YYEAR

function, 78, 126YRAHEADOUT option

PROC X11 statement, 1162YYQ

function, 77, 126

ZZERO= option

COLUMNS statement (COMPUTAB), 411ROWS statement (COMPUTAB), 413

ZEROMISS optionPROC FORECAST statement, 600

ZEROWEIGHT= optionMONTHLY statement (X11), 1169

QUARTERLY statement (X11), 1173


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Subject Index - Worcester Polytechnic · PDF fileSubject Index 2 2SLS estimation method ... and earnings sur-vey DATASOURCE procedure, 487 ... combination models forecasting models,