Polynomial Distributed Lags Using %PDL
/*--------------------------------------------------------------
SAS Sample Library
Name: modex05.sas
Description: Example program from SAS/ETS User's Guide,
The MODEL Procedure
Title: Polynomial Distributed Lags Using %PDL
Product: SAS/ETS Software
Keys: nonlinear simultaneous equation models
PROC: MODEL
Notes:
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/*--------------------------------------------------------------*/
/* Generate Simulated Data for a Linear Model with a PDL on X */
/* y = 10 + x(6,2) + e */
/* pdl(x) = -5.*(lg)**2 + 1.5*(lg) + 0. */
/*--------------------------------------------------------------*/
data pdl;
pdl2=-5.; pdl1=1.5; pdl0=0;
array zz(i) z0-z6;
do i=1 to 7;
z=i-1;
zz=pdl2*z**2 + pdl1*z + pdl0;
end;
do n=-11 to 30;
x =10*ranuni(1234567)-5;
pdl=z0*x + z1*xl1 + z2*xl2 + z3*xl3 + z4*xl4 + z5*xl5 + z6*xl6;
e =10*rannor(1234567);
y =10+pdl+e;
if n>=1 then output;
xl6=xl5; xl5=xl4; xl4=xl3; xl3=xl2; xl2=xl1; xl1=x;
end;
run;
title1 'Polynomial Distributed Lag Example';
title3 'Estimation of PDL(6,4) Model-- No Endpoint Restrictions';
proc model data=pdl;
parms int; /* declare the intercept parameter */
%pdl( xpdl, 6, 4 ) /* declare the lag distribution */
y = int + %pdl( xpdl, x ); /* define the model equation */
fit y / list; /* estimate the parameters */
run;
title3 'Estimation of PDL(6,4) Model-- Both Endpoint Restrictions';
proc model data=pdl ;
parms int; /* declare the intercept parameter */
%pdl( xpdl, 6, 4, r=both ) /* declare the lag distribution */
y = int + %pdl( xpdl, x ); /* define the model equation */
fit y /list; /* estimate the parameters */
run;
title3 'Estimation of PDL(6,2) Model-- With XPDL_0 Dropped';
proc model data=pdl list;
parms int; /* declare the intercept parameter */
%pdl( xpdl, 6, 2 ) /* declare the lag distribution */
y = int + %pdl( xpdl, x ); /* define the model equation */
xpdl_0 =0;
fit y drop=xpdl_0; /* estimate the parameters */
run;