Multipliers for a Third-Order System
/*--------------------------------------------------------------
SAS Sample Library
Name: simex02.sas
Description: Example program from SAS/ETS User's Guide,
The SIMLIN Procedure
Title: Multipliers for a Third-Order System
Product: SAS/ETS Software
Keys: structural equations
PROC: SIMLIN
Notes:
--------------------------------------------------------------*/
data test;
input y ylag1 ylag2 ylag3 x;
n+1;
datalines;
8.2369 8.5191 6.9491 7.8800 -1.2593
8.6285 8.2369 8.5191 6.9491 -1.6805
10.2223 8.6285 8.2369 8.5191 -1.9844
10.1372 10.2223 8.6285 8.2369 -1.7855
10.0360 10.1372 10.2223 8.6285 -1.8092
10.3560 10.0360 10.1372 10.2223 -1.3921
11.4835 10.3560 10.0360 10.1372 -2.0987
10.8508 11.4835 10.3560 10.0360 -1.8788
11.2684 10.8508 11.4835 10.3560 -1.7154
12.6310 11.2684 10.8508 11.4835 -1.8418
11.9096 12.6310 11.2684 10.8508 -2.0470
12.2193 11.9096 12.6310 11.2684 -1.8109
13.0518 12.2193 11.9096 12.6310 -1.8780
12.8666 13.0518 12.2193 11.9096 -2.0845
13.3405 12.8666 13.0518 12.2193 -2.0509
13.3683 13.3405 12.8666 13.0518 -1.7805
13.1531 13.3683 13.3405 12.8666 -2.0595
14.5805 13.1531 13.3683 13.3405 -2.3643
13.1989 14.5805 13.1531 13.3683 -1.4725
12.4139 13.1989 14.5805 13.1531 -1.1796
14.8030 12.4139 13.1989 14.5805 -1.9951
13.9480 14.8030 12.4139 13.1989 -1.8967
14.3449 13.9480 14.8030 12.4139 -2.4828
16.7221 14.3449 13.9480 14.8030 -2.9054
15.9229 16.7221 14.3449 13.9480 -2.6875
16.3114 15.9229 16.7221 14.3449 -2.9113
16.7162 16.3114 15.9229 16.7221 -1.9644
15.4270 16.7162 16.3114 15.9229 -1.7433
17.1469 15.4270 16.7162 16.3114 -2.5479
16.2746 17.1469 15.4270 16.7162 -1.7809
;
title1 'Simulate Equation with Third-Order Lags';
title2 'Listing of Simulated Input Data';
proc print data=test(obs=10);
run;
title2 'Estimated Parameters';
proc reg data=test outest=a;
model y=ylag3 x;
run;
title2 'Listing of OUTEST= Data Set';
proc print data=a;
run;
title2 'Simulation of Equation';
proc simlin est=a data=test nored;
endogenous y;
exogenous x;
lagged ylag3 y 3;
id n;
output out=out1 predicted=yhat residual=yresid;
run;
title2 'Plots of Simulation Results';
proc sgplot data=out1;
scatter x=n y=y;
series x=n y=yhat / markers markerattrs=(symbol=plus);
run;
data test2;
set test;
ylag1x=ylag1;
ylag2x=ylag2;
run;
title2 'Estimation of parameters and definition of identities';
proc syslin data=test2 outest=b;
endogenous y ylag1x ylag2x;
model y=ylag3 x;
identity ylag1x=ylag1;
identity ylag2x=ylag2;
run;
title2 'Listing of OUTEST= data set from PROC SYSLIN';
proc print data=b;
run;
title2 'Simulation of transformed first-order equation system';
proc simlin est=b data=test2 total interim=2;
endogenous y ylag1x ylag2x;
exogenous x;
lagged ylag1 y 1 ylag2 ylag1x 1 ylag3 ylag2x 1;
id n;
output out=out2 predicted=yhat residual=yresid;
run;