Modeling Time-Varying Regression Effects
/*--------------------------------------------------------------
SAS Sample Library
Name: ucmex04.sas
Description: Example program from SAS/ETS User's Guide,
The UCM Procedure
Title: Modeling Time-Varying Regression Effects
Product: SAS/ETS Software
Keys: equally spaced univariate time series data
PROC: UCM
Notes:
--------------------------------------------------------------*/
ods graphics on;
data bat;
input ACC FUEL @@;
batProgram = 0;
if _n_ > 29 then batProgram = 1;
date = INTNX( 'qtr', '1jan1972'd, _n_- 1 );
format date qtr8.;
datalines;
192 32.592 238 37.250 232 40.032
246 35.852 185 38.226 274 38.711
266 43.139 196 40.434 170 35.898
234 37.111 272 38.944 234 37.717
210 37.861 280 42.524 246 43.965
248 41.976 269 42.918 326 49.789
342 48.454 257 45.056 280 49.385
290 42.524 356 51.224 295 48.562
279 48.167 330 51.362 354 54.646
331 53.398 291 50.584 377 51.320
327 50.810 301 46.272 269 48.664
314 48.122 318 47.483 288 44.732
242 46.143 268 44.129 327 46.258
253 48.230 215 46.459 263 50.686
319 49.681 263 51.029 206 47.236
286 51.717 323 51.824 306 49.380
230 47.961 304 46.039 311 55.683
292 52.263
;
proc ucm data=bat;
model acc = fuel;
id date interval=qtr;
irregular;
level var=0 noest;
randomreg batProgram / plot=smooth;
season length=4 var=0 noest plot=smooth;
estimate plot=(panel residual);
forecast plot=forecasts lead=0;
run;