Resources

MA(1) Estimation

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

                    SAS Sample Library

        Name: modex04.sas
 Description: Example program from SAS/ETS User's Guide,
              The MODEL Procedure
       Title: MA(1) Estimation
     Product: SAS/ETS Software
        Keys: nonlinear simultaneous equation models
        PROC: MODEL
       Notes:

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

data grunfeld;
   input year gei gef gec whi whf whc;
   label gei = 'Gross Investment GE'
         gec = 'Capital Stock Lagged GE'
         gef = 'Value of Outstanding Shares GE Lagged'
         whi = 'Gross Investment WH'
         whc = 'Capital Stock Lagged WH'
         whf = 'Value of Outstanding Shares Lagged WH';
datalines;
1935     33.1      1170.6    97.8      12.93     191.5     1.8
1936     45.0      2015.8    104.4     25.90     516.0     .8
1937     77.2      2803.3    118.0     35.05     729.0     7.4
1938     44.6      2039.7    156.2     22.89     560.4     18.1
1939     48.1      2256.2    172.6     18.84     519.9     23.5
1940     74.4      2132.2    186.6     28.57     628.5     26.5
1941     113.0     1834.1    220.9     48.51     537.1     36.2
1942     91.9      1588.0    287.8     43.34     561.2     60.8
1943     61.3      1749.4    319.9     37.02     617.2     84.4
1944     56.8      1687.2    321.3     37.81     626.7     91.2
1945     93.6      2007.7    319.6     39.27     737.2     92.4
1946     159.9     2208.3    346.0     53.46     760.5     86.0
1947     147.2     1656.7    456.4     55.56     581.4     111.1
1948     146.3     1604.4    543.4     49.56     662.3     130.6
1949     98.3      1431.8    618.3     32.04     583.8     141.8
1950     93.5      1610.5    647.4     32.24     635.2     136.7
1951     135.2     1819.4    671.3     54.38     723.8     129.7
1952     157.3     2079.7    726.1     71.78     864.1     145.5
1953     179.5     2371.6    800.3     90.08     1193.5    174.8
1954     189.6     2759.9    888.9     68.60     1188.9    213.5
;

proc model outmodel=grunmod;
   var gei whi gef gec whf whc;
   parms ge_int ge_f ge_c wh_int wh_f wh_c;
   label ge_int = 'GE Intercept'
         ge_f   = 'GE Lagged Share Value Coef'
         ge_c   = 'GE Lagged Capital Stock Coef'
         wh_int = 'WH Intercept'
         wh_f   = 'WH Lagged Share Value Coef'
         wh_c   = 'WH Lagged Capital Stock Coef';
   gei = ge_int + ge_f * gef + ge_c * gec;
   whi = wh_int + wh_f * whf + wh_c * whc;
run;

title1 'Example of MA(1) Error Process Using Grunfeld''s Model';
title2 'MA(1) Error Process Using Unconditional Least Squares';

proc model data=grunfeld model=grunmod;
   %ma(gei,1, m=uls);
   %ma(whi,1, m=uls);
   fit whi gei start=( gei_m1 0.8 -0.8) / startiter=2;
run;

title2 'PROC ARIMA Using Unconditional Least Squares';

proc arima data=grunfeld;
   identify var=whi cross=(whf whc ) noprint;
   estimate q=1 input=(whf whc) method=uls maxiter=40;
run;

title2 'MA(1) Error Process Using Maximum Likelihood ';

proc model data=grunfeld model=grunmod;
   %ma(gei,1, m=ml);
   %ma(whi,1, m=ml);
   fit whi gei;
run;

title2 'PROC ARIMA Using Maximum Likelihood ';

proc arima data=grunfeld;
   identify var=whi cross=(whf whc) noprint;
   estimate q=1 input=(whf whc) method=ml;
run;