TSPEARS Call
analyzes periodic AR models with the minimum AIC procedure
- CALL TSPEARS( arcoef, ev, nar, aic, data
- <,maxlag, opt, missing,
print>);
The inputs to the TSPEARS subroutine are as follows:
- data
- specifies a (or ) data matrix.
- maxlag
- specifies the maximum lag of the periodic AR process.
This value should be less than of the input series.
The default is maxlag=10.
- opt
- specifies an options vector.
- opt[1]
- specifies the mean deletion option.
The mean of the original data is deleted if opt[1]=-1.
An intercept coefficient is estimated if opt[1]=1.
If opt[1]=0, the original input data are processed
assuming that the mean values of input series are zeroes.
The default is opt[1]=0.
- opt[2]
- specifies the number of instants per period.
By default, opt[2]=1.
- opt[3]
- specifies the minimum AIC option.
If opt[3]=0, the maximum lag
AR process is estimated.
If opt[3]=1, the minimum AIC procedure is used.
The default is opt[3]=1.
- missing
- specifies the missing value option.
By default, only the first contiguous observations
with no missing values are used (missing=0).
The missing=1 option ignores
observations with missing values.
If you specify the missing=2 option, the
missing values are replaced with the sample mean.
- print
- specifies the print option.
By default, printed output is suppressed (print=0).
The print=1 option prints the periodic
AR estimates and intermediate process.
The TSPEARS subroutine returns the following values:
- arcoef
- refers to a periodic AR coefficient
matrix of the periodic AR model.
If opt[1]=1, the first column of the
arcoef matrix is an intercept estimate vector.
- ev
- refers to the error variance.
- nar
- refers to the selected AR order vector of the periodic AR model.
- aic
- refers to the minimum AIC values of the periodic AR model.
The TSPEARS subroutine analyzes the periodic
AR model by using the minimum AIC procedure.
The data of length are divided into periods.
There are instants in one period.
See the section "Multivariate Time Series Analysis" for details.
Copyright © 2009 by SAS Institute Inc., Cary, NC, USA. All rights reserved.