SAS/ETS User's Guide Example Programs

SOLVE / OPTIMIZE Example for PROC MODEL

/*--------------------------------------------------------------

                    SAS Sample Library

        Name: modoslv.sas
 Description: Example program from SAS/ETS User's Guide,
              The MODEL Procedure
       Title: SOLVE / OPTIMIZE  Example for PROC MODEL
     Product: SAS/ETS Software
        Keys: nonlinear simultaneous equation models
        PROC: MODEL
       Notes:

--------------------------------------------------------------*/
data d;
   do i = 1 to 20;
      rate = 0.2;
      if i > 1 then rate = .;
      output;
   end;
run;

data s; 
   _name_ = "stock";  rate = 0;   stock = 1;    output;
   _name_ = "rate";   rate = 1;   stock = 0;    output;
run;

proc model data=d sdata=s;
   dependent rate stock;
   parms theta   0.2
         kappa   0.002
         sigma   0.4
         sinit   1
         vol     .1;
   id i;

   bounds rate >= 0;

   rate   = zlag(rate) + kappa*(theta - zlag(rate));
   h.rate = sigma**2 * zlag(rate);
   eq.stock = log(stock/sinit) - (rate + vol*vol/2);
   h.stock = vol**2;

   solve / optimize converge=1e-6 seed=1 random=1 out=o outobjvals outviolations;
quit;   

proc print data=o(where=(_objval_>1e-6));
run;
data test1;
   do t=1 to 50;
      x1 = sqrt(t) ;
      y = .;
      output;
   end;

proc model data=test1;
   exogenous x1 ;
   control a1 -1 b1 -29 c1 -4 ;
   y = a1 * sqrt(y) + b1 * x1 * x1 + c1 * lag(x1);
   solve y / out=sim forecast dynamic ;
run;
proc model data=test1;
   exogenous x1 ;
   control a1 -1 b1 -29 c1 -4 ;
   y = a1 * sqrt(abs(y)) + b1 * x1 * x1 + c1 * lag(x1);
   solve y / out=sim forecast dynamic itprint;
run;
Resources

SOLVE / OPTIMIZE Example for PROC MODEL
