The PANEL procedure analyzes a class of linear econometric models that commonly arise when time series and crosssectional data are combined. The PANEL procedure analyzes panel data sets that consist of multiple time series observations on each of several individuals or crosssectional units. The performance of any estimation procedure for the model regression parameters depends on the statistical characteristics of the error components in the model. The PANEL procedure estimates the regression parameters in the preceding model under several common error structures, including one and twoway fixed and random effects.
ODS Plots from TwoWay Fixed Effects Estimates in PROC PANEL
Details of the PANEL Procedure.
In regression analysis, if the error terms are not independent (autocorrelated), the efficiency of the ordinary leastsquare (OLS) parameter estimates is adversely affected and the standard error estimates are biased. This happens frequently with time series data.
Ordinary regression analysis assumes that the error variance is the same for all observations. When the error variance is not constant, the data are said to be heteroscedastic, and ordinary leastsquares estimates are inefficient.
The AUTOREG procedure estimates and forecasts linear regression models for time series data when the errors are autocorrelated or heteroscedastic. The autoregressive error model is used to correct for autocorrelation, and the generalized autoregressive conditional heteroscedasticity (GARCH) model and its variants are used to model and correct for heteroscedasticity.
The AUTOREG procedure supports the following variations of the GARCH model:




The ARIMA procedure provides a comprehensive set of tools for univariate time series model identification, parameter estimation, and forecasting. It offers great flexibility in the kinds of ARIMA or ARIMAX models that can be analyzed. The procedure supports seasonal, subset, and factored ARIMA models; intervention or interrupted time series models; multiple regression analysis with ARIMA errors; and transfer function models of any complexity.
Details of the ARIMA Procedure.
Regression models supported by PROC PDLREG can include any number of regressors with distribution lags and any number of covariates (simple regressors without lag distributions).
You can specify a minimum degree and a maximum degree for the lag distribution polynomial, and the procedure fits polynomials for all degrees in the specified range.
The PDLREG procedure can also test for autocorrelated residuals and perform autocorrelated error correction using the autoregressive error model. You can specify any order autoregressive error model and several different estimation methods for the autoregressive model, including exact maximum likelihood.
Details of the PDLREG Procedure.
ODS Diagnostic plots generated by PROC SSM
Details of the STATESPACE Procedure.
Spectral analysis is a statistical approach to detecting regular cyclical patterns, or periodicities, in transformed time series data.
The SPECTRA procedure produces estimates of the spectral and crossspectral densities of a multivariate time series. Estimates of the spectral and crossspectral densities of a multivariate time series are produced using a finite Fourier transform to obtain periodograms and crossperiodograms. The periodogram ordinates are smoothed by a moving average to produce estimated spectral and crossspectral densities. PROC SPECTRA can also test whether the data are white noise.
The SPECTRA procedure performs spectral and crossspectral analysis of time series
Details of the SPECTRA Procedure.