tailieunhanh - SAS/ETS 9.22 User's Guide 210

SAS/Ets User's Guide 210. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 2082 F Chapter 32 The VARMAX Procedure COINTEG Statement COINTEG RANK number H matrix J matrix EXOGENEITY NORMALIZE variab e The COINTEG statement fits the vector error correction model to the data tests the restrictions of the long-run parameters and the adjustment parameters and tests for the weak exogeneity in the long-run parameters. The cointegrated system uses the maximum likelihood analysis proposed by Johansen and Juselius 1990 and Johansen 1995a 1995b . Only one COINTEG statement is allowed. You specify the ECM option in the MODEL statement or the COINTEG statement to fit the VECM p . The P option in the MODEL statement is used to specify the autoregressive order of the VECM. The following statements are equivalent for fitting a VECM 2 . proc varmax data one model y1-y3 p 2 ecm rank 1 run proc varmax data one model y1-y3 p 2 cointeg rank 1 run To test restrictions of either a or P or both you specify either J or H or both respectively. You specify the EXOGENEITY option in the COINTEG statement for tests of the weak exogeneity in the long-run parameters. The following is an example of the COINTEG statement. proc varmax data one model y1-y3 p 2 cointeg rank 1 h 1 0 -1 0 0 1 j 1 0 00 01 exogeneity run The following options can be used in the COINTEG statement EXOGENEITY formulates the likelihood ratio tests for testing weak exogeneity in the long-run parameters. The null hypothesis is that one variable is weakly exogenous for the others. H matrix specifies the restrictions H on the k x r or .k 1 x r cointegrated coefficient matrix P such that P H f where H is known and 0 is unknown. If the VECM p is specified with the COINTEG statement or with the ECM option in the MODEL statement and the ECTREND option is not included with the ECM specification then the H matrix has dimension k x m. COINTEG Statement F 2083 If the VECM p is specified with the COINTEG statement or with the ECM option in the MODEL statement and the ECTREND option is also used then the H matrix