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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
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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
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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
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1490 � Subject Index
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
forecasting models, 1299specifying, 1299
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
MODEL procedure, 867
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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
MODEL procedure, 739
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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
forecasting models, 1292specifying, 1292
CUSUM statistics, 340, 353
DDa Silva method
TSCSREG procedure, 1114, 1133damped-trend exponential smoothing, 1467
smoothing models, 1467data frequency
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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
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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
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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
MODEL procedure, 850
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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
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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
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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
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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
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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
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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
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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
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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
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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
MODEL procedure, 766
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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
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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
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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
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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
MODEL procedure, 826
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
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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
forecasting models, 1332specifying, 1332
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
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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
forecasting models, 1347specifying, 1347
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
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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
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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
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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
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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
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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
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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
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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
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Yule-Walker method asgeneralized least-squares, 346
ZZellner estimation
See seemingly unrelated regressionZellner’s two-stage method
TSCSREG procedure, 1133
zooming graphs, 1310
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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
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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
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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
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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
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Syntax Index � 1523
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
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1524 � Syntax Index
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
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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
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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
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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
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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
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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
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1530 � Syntax Index
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
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Syntax Index � 1531
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
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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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