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SAS/ETS Examples

Tourism Demand Modeling and Forecasting with PROC VARMAX


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SAS Program

   /*-------------------------------------------------------------------
     Example: Tourism Demand Modeling and Forecasting Using PROC VARMAX
     Requires: SAS/ETS
     Version: 9.0
     -------------------------------------------------------------------*/


data tourism ;
   set sashelp.tourism;
   lpvsp = log(vsp);
   lppdi = log(pdi);
   lrcsp = log( (cpisp/exsp)/(puk/exuk) );
   label lpvsp='log(per capita holiday visits to Spain)'
         lppdi='log(per capita disposable income)'
         lrcsp='log(living costs in Spain relative to
                UK living costs adjusted by the exchange rate)';
run;



    proc gplot data = tourism ;
       plot lpvsp*year / cframe = ligr vaxis = axis1 haxis = axis2 ;
       title 'Log of Per Capita Holiday Visits to Spain' ;
       symbol c = blue i = join v = star ;
       axis1 label = (angle=90 'log(per capita visits to Spain)') ;
       axis2 label = ('Year') ;
    run ;
    quit ;




   proc varmax data=tourism;
      id year interval=year;
      model lpvsp lppdi lrcsp / p=1 print=(parcoef pcorr pcancorr) lagmax=6 ;
   run ;




   proc varmax data=tourism;
      id year interval=year;
      model lpvsp lppdi lrcsp / p=1;
         /* Test for Causality */
      causal group1=(lrcsp) group2=(lpvsp lppdi);
   run;



   /* Fit the VARX(1,1) model */
   proc varmax data=tourism;
      id year interval=year;
      model lpvsp lppdi = lrcsp / p=1 xlag=1 ;
   run;



   /* Fit the VARX(1,1) model with parameter restriction */
   proc varmax data=tourism;
      id year interval=year;
      model lpvsp lppdi = lrcsp / p=1 xlag=1;
      restrict XL(0,1,1) = 0 XL(1,2,1)=0;
      output out=forecasts lead=6;
   run;



   %forgraph(forecasts,timeid=year, interval=year,
             actual=lpvsp, forecast=for1, lower=lci1, upper=uci1);