Money Demand Model
/*--------------------------------------------------------------
SAS Sample Library
Name: autex05.sas
Description: Example program from SAS/ETS User's Guide,
The AUTOREG Procedure
Title: Money Demand Model
Product: SAS/ETS Software
Keys: autoregression
PROC: AUTOREG
Notes:
--------------------------------------------------------------*/
data money;
date = intnx( 'qtr', '01jan1968'd, _n_-1 );
format date yyqc6.;
input m1 gnp gdf ycb @@;
m = log( 100 * m1 / gdf );
m1cp = log( 100 * lag(m1) / gdf );
y = log( gnp );
intr = log( ycb );
infr = 100 * log( gdf / lag(gdf) );
label m = 'Real Money Stock (M1)'
m1cp = 'Lagged M1/Current GDF'
y = 'Real GNP'
intr = 'Yield on Corporate Bonds'
infr = 'Rate of Prices Changes';
datalines;
187.15 1036.22 81.18 6.84
190.63 1056.02 82.12 6.97
194.30 1068.72 82.80 6.98
198.55 1071.28 84.04 6.84
201.73 1084.15 84.97 7.32
203.18 1088.73 86.10 7.54
204.18 1091.90 87.49 7.70
206.10 1085.53 88.62 8.22
207.90 1081.32 89.89 8.86
209.78 1083.01 91.07 8.70
212.78 1093.37 91.79 9.40
216.08 1084.60 93.03 9.33
220.28 1111.55 94.40 8.74
225.25 1116.93 95.70 8.45
228.45 1125.78 96.52 8.76
230.70 1135.43 97.39 8.48
235.60 1157.21 98.72 8.23
239.38 1178.54 99.42 8.24
244.55 1193.12 100.25 8.23
250.70 1214.79 101.54 8.06
254.80 1246.72 102.95 7.90
258.40 1248.31 104.75 8.09
261.03 1255.70 106.53 8.24
264.68 1266.05 108.74 8.41
268.77 1253.34 110.72 8.58
271.23 1254.67 113.48 8.88
273.73 1246.86 116.42 9.55
276.73 1230.32 119.79 10.41
278.75 1204.26 122.88 10.62
283.80 1218.82 124.44 10.34
288.13 1246.05 126.68 10.33
290.88 1257.31 128.99 10.37
295.18 1284.97 130.12 10.24
299.53 1293.68 131.30 9.83
303.35 1301.08 132.89 9.63
309.35 1313.06 134.99 9.29
316.55 1341.23 136.80 9.08
321.80 1363.28 139.01 9.07
327.60 1385.80 141.03 8.87
334.80 1388.51 143.24 8.89
341.13 1400.01 145.12 9.17
348.70 1436.97 148.89 9.32
355.45 1448.82 152.02 9.60
361.38 1468.40 155.38 9.59
367.08 1472.57 158.60 10.13
376.10 1469.20 161.85 10.33
384.58 1486.59 165.13 10.29
388.38 1489.38 168.05 11.40
394.30 1496.40 171.94 12.42
390.00 1461.40 176.46 14.19
405.50 1464.20 180.24 12.67
416.10 1477.90 185.13 14.23
420.90 1513.50 190.01 15.03
429.30 1511.70 193.03 15.56
432.60 1522.10 197.71 16.17
437.50 1501.30 201.69 17.11
448.80 1483.50 203.98 17.10
451.30 1480.50 206.77 16.78
458.20 1477.10 208.52 16.80
475.70 1478.80 210.28 14.73
490.90 1491.00 212.86 13.94
505.20 1524.80 214.26 13.29
517.20 1550.20 215.88 13.39
523.40 1572.70 218.20 13.46
;
proc print data=money(obs=8);
run;
title 'Partial Adjustment Money Demand Equation';
title2 'Quarterly Data - 1968:2 to 1983:4';
proc autoreg data=money outest=est covout;
model m = m1cp y intr infr / dw=4 dwprob;
run;
proc autoreg data=money;
model m = m1cp y intr infr / nlag=1 method=ml maxit=50;
output out=a p=p pm=pm r=r rm=rm ucl=ucl lcl=lcl
uclm=uclm lclm=lclm;
run;
proc print data=a(obs=8);
var p pm r rm ucl lcl uclm lclm;
run;