SAS® Econometrics

Running in SAS® Viya®, SAS Econometrics provides a resilient, distributed and scriptable method of conducting advanced econometric modeling and time series analysis. It also provides a programming entry point for econometricians in government, academics and industry (especially insurance and financial services) and uses the speed, scalability and elasticity of the SAS in-memory environment. SAS Econometrics includes SAS/ETS® and requires SAS® Visual Analytics.

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The most recent release is SAS Econometrics 8.4.

Key features of SAS Econometrics 8.4

  • The CARIMA procedure adds ODS output tables.
  • The CCDM procedure and cdm action set add pure premium and custom simulation modes, and efficient parameter perturbation methods. The CCDM procedure also adds insightful plots of the aggregate loss distributions.
  • The CPANEL procedure and panel action set add FIXONETIME, BTWNT, and new instrumental variables (IV) models. The IV models can be estimated by either the two-stage least squares (2SLS) method or the two-step GMM estimation method. PROC CPANEL also provides options to estimate robust and bias-corrected covariance matrices.
  • The CQLIM procedure and qlim action set add bivariate and multivariate limited dependent variable, discrete response, and linear models.
  • The CSPATIALREG procedure and spatialreg action set now support impact estimation, which enables you to summarize the average direct impacts, the average indirect impacts, and the average total impacts from changes in an explanatory variable of your model.
  • The HMM procedure and hiddenMarkovModel action set add the regime-switching autoregression model in mean-adjusted form and the stochastic gradient descent (SGD) optimization algorithm.
  • The SEVSELECT procedure and severity action set now report dependency among parameter estimates. The SEVSELECT procedure also adds plot options to visualize focused parts of fitted severity distributions.
  • The TSMODEL procedure adds to the ID statement an option that enables you to specify the method to use to distribute the input time series observations and an option that enables the selection of the best international SAS format for the time ID values.
  • The timeData action set now enables you to specify the selection of the best international SAS format for the time ID values.

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