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SAS/ETS 14.1 User's Guide

Example Programs (Sample Library)

Select an example Date Intervals, Formats, and Functions PROC ARIMA PROC AUTOREG PROC COMPUTAB PROC COPULA PROC COUNTREG PROC DATASOURCE PROC ENTROPY PROC ESM PROC EXPAND PROC FORECAST PROC HPCDM PROC HPCOPULA PROC HPCOUNTREG PROC HPPANEL PROC HPQLIM PROC HPSEVERITY PROC LOAN PROC MDC PROC MODEL PROC PANEL PROC PDLREG PROC QLIM PROC SEVERITY PROC SIMLIN PROC SIMILARITY PROC SPECTRA PROC SSM PROC STATESPACE PROC SYSLIN PROC TIMEDATA PROC TIMEID PROC TIMESERIES PROC TSCSREG PROC UCM PROC VARMAX PROC X11 PROC X12 PROC X13 SASECRSP Interface Engine SASEFAME Interface Engine SASEFRED Interface Engine SASEHAVR Interface Engine SASEQUAN Interface Engine SASEXCCM Interface Engine SASEXFSD Interface Engine Working with Time Series Data

For tips about extracting data, see Reading Sample Data from a URL.

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Working with Time Series Data

• Example for Working with Time Series Data

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Date Intervals, Formats, and Functions

• Store Hours Example
• Fiscal Month Example
• Banking Days Example

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ARIMA Procedure

• Getting Started Example for PROC ARIMA
• Airline Series: Illustration of ODS Graphics
• Simulated IMA Model
• Seasonal Model for the Airline Series
• Model for Series J Data from Box and Jenkins
• An Intervention Model for Ozone Data
• Using Diagnostics to Identify ARIMA Models
• Detection of Level Changes in the Nile River Data
• Iterative Outlier Detection

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AUTOREG Procedure

• Getting Started Example for PROC AUTOREG
• Analysis of Real Output Series
• Comparing Estimates and Models
• Lack-of-Fit Study
• Missing Values
• Money Demand Model
• Estimation of ARCH(2) Process
• Estimation of GARCH-Type Models
• Illustration of ODS Graphics

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COMPUTAB Procedure

• Getting Started Example for PROC COMPUTAB
• Program Flow Example for PROC COMPUTAB
• Column Selection Example for PROC COMPUTAB
• Using Programming Statements
• Enhancing a Report
• Comparison of Actual and Budget
• Consolidations
• Creating an Output Data Set
• A What-If Market Analysis
• Cash Flows

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COPULA Procedure

• Getting Started Example for PROC COPULA
• VaR Estimation
• Simulating Default Times

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COUNTREG Procedure

• Getting Started Example for PROC COUNTREG
• Basic Models
• ZIP and ZINB Models for Data Exhibiting Extra Zeros
• Variable Selection

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DATASOURCE Procedure

• Selecting Time Series Variables - The KEEP and DROP Statements
• Controlling the Time Range of Data - The RANGE Statement
• Obtaining Descriptive Information on Cross Sections with OUTBY
• Obtaining Descriptive Information on Cross Sections with OUTALL
• Subsetting a Data File Containing Cross Sections
• Renaming Time Series Variables
• Changing the Lengths of Numeric Variables
• BEA National Income and Product Accounts
• BLS Consumer Price Index Surveys
• BLS State and Area Employment, Hours, and Earnings Surveys
• GLOBAL INSIGHT:DRI/McGraw-Hill Format CITIBASE Files, OUTALL Data Set
• GLOBAL INSIGHT:DRI/McGraw-Hill Format CITIBASE Files, OUTSELECT=OFF
• GLOBAL INSIGHT:DRI/McGraw-Hill Format CITIBASE Files, OUTSELECT=ON
• GLOBAL INSIGHT:DRI/McGraw-Hill Format CITIBASE Files with RANGE Option
• GLOBAL INSIGHT:DRI Data Delivery Service Database
• GLOBAL INSIGHT: PC Format CITIBASE Database
• Quarterly COMPUSTAT Data Files
• Annual COMPUSTAT Data Files, Filetype CSAUCY3
• CRSP Daily NYSE/AMEX Combined Stocks

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ENTROPY Procedure

• Getting Started Example for PROC ENTROPY
• Nonnormal Error Estimation
• Unreplicated Factorial Experiments
• Censored Data Models in Proc ENTROPY
• Use of the PDATA= Option
• Illustration of ODS Graphics

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ESM Procedure

• Forecasting of Time Series Data
• Forecasting of Transactional Data
• Specifying the Forecasting Model
• Extending the Independent Variables for Multivariate Forecasts
• Illustration of ODS Graphics

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EXPAND Procedure

• Combining Monthly and Quarterly Data
• Illustration of ODS Graphics
• Interpolating Irregular Observations
• Using Transformations

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FORECAST Procedure

• Getting Started Example for PROC FORECAST
• Forecasting Auto Sales
• Forecasting Retail Sales
• Forecasting Petroleum Sales

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HPCDM Procedure

• Getting Started with PROC HPCDM
• Estimating the Probability Distribution of Insurance Payments
• Using Externally Simulated Count Data

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HPCOPULA Procedure

• Simulating Default Times

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HPCOUNTREG Procedure

• Basic Models
• Getting Started Example for PROC HPCOUNTREG

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HPPANEL Procedure

• Basic Models

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HPQLIM Procedure

• Basic Models
• Basic Models

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HPSEVERITY Procedure

• Defining and Fitting the Normal Distribution
• Defining the Normal Distribution with a Scale Parameter
• Defining a Mixed-Tail Distribution
• Fitting a Scaled Tweedie Model with Regressors
• Fitting Distributions to Interval-Censored Data
• Benefits of Distributed and Multithreaded Computing
• Estimating Parameters Using the Cramer-von Mises Estimator
• Scale Regression with a Finite Mixture Model
• Predicting Mean and Value-at-risk for a Scale Regression Model
• Scale Regression with Rich Regression Effects

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LOAN Procedure

• Getting Started Example for PROC LOAN
• Discount Points for Lower Interest Rates
• Refinancing a Loan
• Prepayments on a Loan
• Output Data Sets
• Piggyback Loans

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MDC Procedure

• Getting Started Example for PROC MDC
• Binary Data Modeling
• Conditional Logit
• Correlated Choice Modeling
• Testing for Homoscedasticity of the Utility Function
• Nested Logit Analysis
• Hausman's Specification and Likelihood Ratio Tests
• Likelihood Ratio Test

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MODEL Procedure

• Getting Started Example for PROC MODEL
• Syntax Example for PROC MODEL
• Estimation Details Example for PROC MODEL
• Programming Language Example for PROC MODEL
• ANALYZEDEP= Example for PROC MODEL
• SOLVE / OPTIMIZE Example for PROC MODEL
• OLS Single Nonlinear Equation
• A Consumer Demand Model
• Vector AR(1) Estimation
• MA(1) Estimation
• Polynomial Distributed Lags 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
• A Translog Cost Function and Derived Demands
• Reducing Parameter Variance in a Tree Biomass Model

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PANEL Procedure

• Getting Started Example for PROC PANEL
• Analyzing Demand for Liquid Assets
• The Airline Cost Data: Fixtwo Model
• The Airline Cost Data: Further Analysis
• The Airline Cost Data: Random Effects Models
• Hausman-Taylor Estimation
• Dynamic Panel Estimation with GMM
• Using the FLATDATA Statement

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PDLREG Procedure

• Getting Started Example for PROC PDLREG
• Industrial Conference Board Data
• Money Demand Model

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QLIM Procedure

• Getting Started Example for PROC QLIM
• Ordered Data Modeling
• Tobit Analysis
• Bivariate Probit Analysis
• Sample Selection Model
• Sample Selection Model
• Types of Tobit Model
• Stochastic Frontier Models
• Bayesian Censored Model

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SEVERITY Procedure

• SEVERITY Utility Functions
• Model Definition for Burr Distribution
• Model Definition for Exponential Distribution
• Model Definition for Gamma Distribution
• Model Definition for Generalized Pareto Distribution
• Model Definition for Inverse Gaussian Distribution
• Model Definition for Lognormal Distribution
• Model Definition for Pareto Distribution
• Model Definition for Tweedie Distribution with Mean Parameter
• Model Definition for Tweedie Distribution with Scale Parameter
• Model Definition for Weibull Distribution
• Getting Started with PROC SEVERITY
• Defining and Fitting the Normal Distribution
• Defining the Normal Distribution with a Scale Parameter
• Defining a Mixed-Tail Distribution
• Estimating Parameters Using the Cramer-von Mises Estimator
• Fitting a Scaled Tweedie Model with Regressors
• Fitting Distributions to Interval-Censored Data
• Scale Regression with a Finite Mixture Model
• Predicting Mean and Value-at-risk for a Scale Regression Model
• Scale Regression with Rich Regression Effects

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SIMLIN Procedure

• Simulating Klein's Model I
• Multipliers for a Third-Order System

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SIMILARITY Procedure

• Similarity Analysis
• Sliding Similarity Analysis
• Searching for Historical Analogies
• Clustering Time Series

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SPECTRA Procedure

• Spectral Analysis of Sunspot Activity
• Cross-Spectral Analysis

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SSM Procedure

• Getting Started Example for PROC SSM
• Bivariate Basic Structural Model
• Panel Data: Two-Way Random-Effects and Autoregressive Models
• Backcasting, Forecasting, and Interpolation
• Longitudinal Data: Smoothing of Repeated Measures
• A User-Defined Trend Model
• Model with Multiple ARIMA Components
• Dynamic Factor Modeling
• Diagnostic Plots and Structural Break Analysis
• Longitudinal Data: Variable Bandwidth Smoothing
• A Transfer Function Model for the Gas Furnace Data
• Panel Data: Dynamic Panel Model for the Cigar Data
• Multivariate Modeling: Analysis of Long-Term Temperature Trends
• Annual Sales of Mink and Muskrat Furs
• Now-Casting the US Economy
• Lung Function Analysis of an Asthma Patient

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STATESPACE Procedure

• Getting Started Example for PROC STATESPACE
• Series J from Box and Jenkins

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SYSLIN Procedure

• Getting Started Example for PROC SYSLIN
• Klein's Model I Estimated with LIML and 3SLS
• Grunfeld's Model Estimated with SUR
• Illustration of ODS Graphics

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TIMEDATA Procedure

• Accumulation of Transactional Data
• Timestamped Transactional Analysis
• Using User-Defined Functions and Subroutines
• Use of AUXDATA with PROC TIMEDATA

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TIMEID Procedure

• Span in Weekday Series
• Examining a Weekly Time ID Variable
• Inferring a Time Interval
• Examining Multiple BY Groups

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TIMESERIES Procedure

• Accumulation of Transactional Data
• Timestamped Transactional Analysis
• Trend and Seasonal Analysis
• Illustration of ODS Graphics
• Spectral Analysis of SUNSPOT Data
• Singular Spectral Analysis of AIR Data

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TSCSREG Procedure

• Getting Started Example for PROC TSCSREG

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UCM Procedure

• Getting Started Example for PROC UCM
• Analysis of Sunspot Data: Illustration of ODS Graphics
• The Airline Series Revisited
• Variable Star Data
• Modeling Long Seasonal Patterns
• Modeling Time-Varying Regression Effects
• Trend Removal Using the Hodrick-Prescott Filter
• Using Splines to Incorporate Nonlinear Effects
• Detection of Level Shift
• ARIMA Modeling

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VARMAX Procedure

• Getting Started Example for PROC VARMAX
• Details Example for PROC VARMAX
• Analysis of US Economic Variables
• Analysis of German Economic Variables
• Estimation and Test for
• Analysis of Euro Foreign Exchange Reference Rates
• Numerous Examples
• Illustration of ODS Graphics

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X11 Procedure

• Getting Started Example for PROC X11
• Component Estimation - Monthly Data
• Components Estimation - Quarterly Data
• Outlier Detection and Removal

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X12 Procedure

The functionality previously available in the X12 procedure is now included in the X13 procedure; see the X13 example programs. The X12 syntax is identical to the X13 syntax, and the results are the same.

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X13 Procedure

• Getting Started Example for PROC X13
• Model Identification
• Model Estimation
• Seasonal Adjustment
• RegARIMA Automatic Model Selection
• Automatic Outlier Detection
• User-defined Regressors
• MDLINFOIN= and MDLINFOOUT= Data Sets
• Setting Regression Parameters
• Creating Default MLDINFO= Data Sets for Use with the PICKMDL statement
• Illustration of ODS Graphics
• AUXDATA= Data Set

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SASECRSP Interface Engine

• Specifying PERMNOs and RANGE on the LIBNAME Statement
• Using the LIBNAME Statement to Access All Keys
• Accessing One PERMNO Using No RANGE
• Specifying INDNO Keys Using the INSET= Option
• Specifying PERMCO Keys Using the INSET= Option
• Specifying TICKER Keys Using the INSET= Option
• Specifying Ranges for Individual Keys with the INSET= Option
• Converting Dates By Using the CRSP Date Functions
• Comparing Different Ways of Accessing CCM Data
• Comparing PERMNO and GVKEY Access of CRSP Stock Data
• Using Fiscal Date Range Restriction
• Using Different Types of Range Restriction in the INSET
• Using INSET Ranges with the LIBNAME RANGE Option

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SASEFAME Interface Engine

• Converting an Entire FAME Database
• Reading Time Series from the FAME Database
• Drop Using N-literals-Writing Time Series to the SAS Data Set
• Rename Using N-literals-Writing Time Series to the SAS Data Set
• The RANGE= Option - Limiting the Time Range of Data
• WHERE Statement - Limiting the Time Range of Data
• Creating a View of OECD Data Using the SQL Procedure and SASEFAME
• Creating a View of DRI Basic Economic Data Using the SQL Procedure
• Creating a View of DB77 Data Using the SQL Procedure and SASEFAME
• Creating a View of DRIECON Data Using the SQL Procedure
• Reading Other FAME Data Objects with the FAMEOUT= Option
• Remote FAME Access Using FAME CHLI
• Selecting Time Series Using CROSSLIST=Option and KEEP Statement
• Selecting Time Series Using CROSSLIST=Option and Fame Namelist
• Selecting Time Series Using CROSSLIST=Option and WHERE=TICK
• Selecting Boolean Case Series with the FAMEOUT= Option
• Selecting Numeric Case Series with the FAMEOUT= Option
• Selecting Date Case Series with the FAMEOUT= Option
• Selecting String Case Series with the FAMEOUT= Option
• Extracting Source for Formulas
• Reading Time Series by Defining Fame Expression Groups in INSET
• Optimizing Cache Sizes with TUNEFAME and TUNECHLI Options

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SASEFRED Interface Engine

• Retrieving Balance of Payment Basis Data For Exports and
• Retrieving Data for Exports of Goods and Services (BOPXGSA)
• Selecting Time Series When Native Frequency Is Less Than
• Selecting Time Series When Native Frequency Is Greater Than
• Specifying One Time Series ID with Multiple Vintage Dates
• Specifying Two Series Ids with Multiple Vintage Dates

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SASEHAVR Interface Engine

• Examining the Contents of a Haver Database
• Viewing Quarterly Time Series from a Haver Database
• Viewing Monthly Time Series from a Haver Database
• Viewing Weekly Time Series from a Haver Database
• Viewing Daily Time Series from a Haver Database
• Limiting the Range of Time Series from a Haver Database
• Using the WHERE Statement to Subset Time Series
• Using the KEEP Option to Subset Time Series from a Haver Database
• Using the SOURCE Option to Subset Time Series from Haver Data
• Using the GROUP Option to Subset Time Series
• Using the OUTSELECT=ON Option to View Key Selection Variables
• Selecting Variables Based on Short Source Key Codes
• Selecting Variables Based on Geography Key Codes

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SASEQUAN Interface Engine

• Historical Prices for Oil India Limited
• Retrieving Data for Three FRED Quandl Codes
• Selecting All Financial Ratios Time Series
• JASDAQ-TOP20 Exchange Traded Fund (ETF)
• Weekly JASDAQ-TOP20 Exchange Traded Fund (ETF)
• Transform JASDAQ-TOP20 Exchange Traded Fund (ETF)
• Read Tammer1's Superset containing Multiple Time Series

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SASEXCCM Interface Engine

• Retrieving SALE Data for One GVKEY
• Retrieving SALE Data for Multiple GVKEYs
• Retrieving Data in Different Keysets
• Retrieving Items with Global Options
• Retrieving All GVKEYs and Company Names
• Retrieving Stock Time Series by PERMNO
• Retrieving Stock and Indices Monthly Time Series by INDNO
• Retrieving Stock and Indices Daily Time Series by INDNO
• Retrieving Information for Availability of Group INDNOs
• Retrieving Daily Group Time Series by INDNO= Option
• Retrieving Monthly Group Time Series by INDNO= Option
• Retrieving Monthly US Treasury Time Series by TREASNO= Option

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SASEXFSD Interface Engine

• Retrieving Price Data for One Company
• Retrieving Price and Sales Data for Multiple Companies
• Retrieving Book Value (FF_BPS) Data for One Company
• Retrieving Multiple Screen Items for Multiple Companies
• Retrieving Standardized Economic Items for Multiple Countries
• Retrieving Multiple Items/Companies Belonging to a Single OFDB File
• Retrieving a List of Securities Belonging to a Single OFDB File
• Retrieving a List of CUSIPs Belonging to a Screen File
• Retrieving Price-to-Earnings Data by Using ISON/ISONParams
• Retrieving Price-to-Earnings Data For IBM and GM
• Retrieving Benchmark Data for Top 10 Holdings, CUTOFF=10
• Retrieving Benchmark Data for R.1000 with MATCHDATE=ON
• Retrieving Items Using SPEC_ID for the Last 30 Days
• Retrieve Monthly Data from Two Dbsources: FDS_ECON_DATA and EURO_STAT
• Retrieving Items Using Economic Function RETURNS
• Retrieving Items Using Economic Function ZSCORE

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