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The MODEL Procedure
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The MODEL Procedure
Overview: MODEL Procedure
Getting Started: MODEL Procedure
Nonlinear Regression Analysis
Nonlinear Systems Regression
General Form Models
Solving Simultaneous Nonlinear Equation Systems
Monte Carlo Simulation
Syntax: MODEL Procedure
Functional Summary
PROC MODEL Statement
BOUNDS Statement
BY Statement
CONTROL Statement
DELETEMODEL Statement
ENDOGENOUS Statement
ERRORMODEL Statement
ESTIMATE Statement
EXOGENOUS Statement
FIT Statement
ID Statement
INCLUDE Statement
INSTRUMENTS Statement
LABEL Statement
MOMENT Statement
OUTVARS Statement
PARAMETERS Statement
Programming Statements
RANGE Statement
RESET Statement
RESTRICT Statement
SOLVE Statement
TEST Statement
VAR Statement
WEIGHT Statement
Details: Estimation by the MODEL Procedure
Estimation Methods
Properties of the Estimates
Minimization Methods
Convergence Criteria
Troubleshooting Convergence Problems
Iteration History
Computer Resource Requirements
Testing for Normality
Heteroscedasticity
Testing for Autocorrelation
Transformation of Error Terms
Error Covariance Structure Specification
Ordinary Differential Equations
Restrictions and Bounds on Parameters
Tests on Parameters
Hausman Specification Test
Chow Tests
Profile Likelihood Confidence Intervals
Choice of Instruments
Autoregressive Moving-Average Error Processes
Distributed Lag Models and the %PDL Macro
Input Data Sets
Output Data Sets
ODS Table Names
ODS Graphics
Details: Simulation by the MODEL Procedure
Solution Modes
Multivariate
t
Distribution Simulation
Alternate Distribution Simulation
Mixtures of Distributions—Copulas
Solution Mode Output
Goal Seeking: Solving for Right-Hand-Side Variables
Numerical Solution Methods
Numerical Integration
Limitations
SOLVE Data Sets
Programming Language Overview: MODEL Procedure
Variables in the Model Program
Equation Translations
Derivatives
Mathematical Functions
Functions across Time
Language Differences
Storing Programs in Model Files
Macro Return Codes (SYSINFO)
Diagnostics and Debugging
Analyzing the Structure of Large Models
Examples: MODEL Procedure
OLS Single Nonlinear Equation
A Consumer Demand Model
Vector AR(1) Estimation
MA(1) Estimation
Polynomial Distributed Lags by Using %PDL
General Form Equations
Spring and Damper Continuous System
Nonlinear FIML Estimation
Circuit Estimation
Systems of Differential Equations
Monte Carlo Simulation
Cauchy Distribution Estimation
Switching Regression Example
Simulating from a Mixture of Distributions
Simulated Method of Moments—Simple Linear Regression
Simulated Method of Moments—AR(1) Process
Simulated Method of Moments—Stochastic Volatility Model
Duration Data Model with Unobserved Heterogeneity
EMM Estimation of a Stochastic Volatility Model
Illustration of ODS Graphics
References
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