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chpt3.sas
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*-------------------------------------------------------------------*/
/* SAS FOR FORECASTING TIME SERIES, SECOND EDITION */
/* by John C. Brocklebank and David A. Dickey */
/* Copyright(c) 2003 by SAS Institute Inc., Cary, NC, USA */
/* SAS Publications order # 57275 */
/* Jointly co-published by SAS Institute and John Wiley & Sons 2003 */
/* SAS ISBN 1-59047-182-2 */
John Wiley & Sons, Inc. ISBN 0-471-39566-8 */
/*-------------------------------------------------------------------*/
/* */
/* This material is provided "as is" by SAS Institute Inc. There */
/* are no warranties, expressed or implied, as to merchantability or */
/* fitness for a particular purpose regarding the materials or code */
/* contained herein. The Institute is not responsible for errors */
/* in this material as it now exists or will exist, nor does the */
/* Institute provide technical support for it. */
/* */
/*-------------------------------------------------------------------*/
/* Questions or problem reports concerning this material may be */
/* addressed to the author: */
/* */
/* SAS Institute Inc. */
/* Books by Users */
/* Attn: John Brocklebank and David Dickey */
/* SAS Campus Drive */
/* Cary, NC 27513 */
/* */
/* */
/* If you prefer, you can send email to: [email protected] */
/* Use this for subject field: */
/* Comments for John Brocklebank and David Dickey */
/* */
/*-------------------------------------------------------------------*/
/* Use the DATA step below with the appropriate PROC statements in */
/* Chapter 3, "The General ARIMA Model," of SAS FOR FORECASTING */
/* TIME SERIES, SECOND EDITION, to produce Output 3.1-3.5, and 3.10. */
OPTIONS MACROGEN SYMBOLGEN MPRINT;
%MACRO MPACF;
TOEP=TOEPLITZ(A); G=TOEP[1:10,1:10];
A=A[1,2:11]; A=A`;
APACF={0,0,0,0,0,0,0,0,0,0};
DO H=1 TO 10;
P=INV(G[1:H,1:H])*A[1:H,1];
APACF[H,1]=P[H,1];
END;
%MEND MPACF;
DATA SERIES;
FORMAT T YAR1 YMA1 Y1-Y8 7.2;
DO T=-25 TO 150;
YAR1L=YAR1; Y1L1=Y1;
Y2L1=Y2; Y3L2=Y3L1;
Y3L1=Y3; Y4L2=Y4L1;
Y4L1=Y4; Y8L1=Y8;
EL2=EL1; EL1=E;
E=NORMAL(1234567);
YAR1=SUM(100,.8*YAR1L,-80,E);
YMA1=SUM(100,E,.8*EL1);
Y1=SUM(.8*Y1L1,E);
Y2=SUM(-.8*Y2L1,E);
Y3=SUM(.3*Y3L1,.4*Y3L2,E);
Y4=SUM(.7*Y4L1,-.49*Y4L2,E);
Y5=SUM(E,+.8*EL1);
Y6=SUM(E,-.3*EL1,-.4*EL2);
Y7=E;
Y8=SUM(.6*Y8L1,E,.4*EL1);
OUTPUT;
END;
RUN;
DATA SERIES;
SET SERIES;
IF T>0;
RUN;
DATA SERIES;
SET SERIES;
KEEP T YAR1 YMA1 Y1-Y8;
RUN;
PROC IML;
RESET PRINT; USE SERIES; READ ALL INTO X;
N={25}; YAR1=X[,2]; ZYAR1=COVLAG(YAR1,N); A=ZYAR1;
%MPACF;
EPCFYAR1=APACF; PHI={1,-.8}; THETA={1};
CALL ARMACOV(AYAR1,CYAR1,MYAR1,PHI,THETA,N);
A=AYAR1;
%MPACF;
APCFYAR1=APACF; YMA1=X[,3]; ZYMA1=COVLAG(YMA1,N); A=ZYAR1;
%MPACF;
EPCFYMA1=APACF; PHI=1; THETA={1,.8};
CALL ARMACOV(AYMA1,CYMA1,MYMA1,PHI,THETA,N);
A=AYMA1;
%MPACF;
APCFYMA1=APACF; Y1=X[,4]; ZY1=COVLAG(Y1,N); A=ZY1;
%MPACF;
EPCFY1=APACF; ZY1=ZY1/ZY1[1,1]; PHI={1,-.8}; THETA=1;
CALL ARMACOV(AY1,CY1,MY1,PHI,THETA,N);
ECORY1=ZY1; ACORY1=AY1/AY1[1,1]; A=AY1;
%MPACF;
APACFY1=APACF; Y2=X[,5]; ZY2=COVLAG(Y2,N); A=ZY2;
%MPACF;
EPCFY2=APACF; ZY2=ZY2/ZY2[1,1]; PHI={1,.8}; THETA=1;
CALL ARMACOV(AY2,CY2,MY2,PHI,THETA,N);
ECORY2=ZY2; ACORY2=AY2/AY2[1,1]; A=AY2;
%MPACF;
APACFY2=APACF; Y3=X[,6]; ZY3=COVLAG(Y3,N); A=ZY3;
%MPACF;
EPCFY3=APACF; ZY3=ZY3/ZY3[1,1]; PHI={1,-.3,-.4}; THETA=1;
CALL ARMACOV(AY3,CY3,MY3,PHI,THETA,N);
ECORY3=ZY3; ACORY3=AY3/AY3[1,1]; A=AY3;
%MPACF;
APACFY3=APACF; Y4=X[,7]; ZY4=COVLAG(Y4,N); A=ZY4;
%MPACF;
EPCFY4=APACF; ZY4=ZY4/ZY4[1,1]; PHI={1,-.7,.49}; THETA=1;
CALL ARMACOV(AY4,CY4,MY4,PHI,THETA,N);
ECORY4=ZY4; ACORY4=AY4/AY4[1,1]; A=AY4;
%MPACF;
APACFY4=APACF; Y5=X[,8]; ZY5=COVLAG(Y5,N); A=ZY5;
%MPACF;
EPCFY5=APACF; ZY5=ZY5/ZY5[1,1]; PHI=1; THETA={1,.8};
CALL ARMACOV(AY5,CY5,MY5,PHI,THETA,N);
ECORY5=ZY5; ACORY5=AY5/AY5[1,1]; A=AY5;
%MPACF;
APACFY5=APACF; Y6=X[,9]; ZY6=COVLAG(Y6,N); A=ZY6;
%MPACF;
EPCFY6=APACF; ZY6=ZY6/ZY6[1,1]; PHI=1; THETA={1,-.3,-.4};
CALL ARMACOV(AY6,CY6,MY6,PHI,THETA,N);
ECORY6=ZY6; ACORY6=AY6/AY6[1,1]; A=AY6;
%MPACF;
APACFY6=APACF; Y7=X[,10]; ZY7=COVLAG(Y7,N); A=ZY7;
%MPACF;
EPCFY7=APACF; ZY7=ZY7/ZY7[1,1]; PHI=1; THETA=1;
CALL ARMACOV(AY7,CY7,MY7,PHI,THETA,N);
ECORY7=ZY7; ACORY7=AY7/AY7[1,1]; A=AY7;
%MPACF;
APACFY7=APACF; Y8=X[,11]; ZY8=COVLAG(Y8,N); A=ZY8;
%MPACF;
EPCFY8=APACF; ZY8=ZY8/ZY8[1,1]; PHI={1,-.6}; THETA={1,.4};
CALL ARMACOV(AY8,CY8,MY8,PHI,THETA,N);
ECORY8=ZY8/ZY8[1,1]; ACORY8=AY8/AY8[1,1]; A=AY8;
%MPACF;
APACFY8=APACF;
OUTTOP=AYAR1`||AYMA1`||ACORY1`||ACORY2`||ACORY3`||
ACORY4`||ACORY5`||ACORY6`||ACORY7`||ACORY8`;
OUTBOT=ZYAR1`||ZYMA1`||ECORY1`||ECORY2`||ECORY3`||
ECORY4`||ECORY5`||ECORY6`||ECORY7`||ECORY8`;
OUTBOT2=APCFYAR1||APCFYMA1||APACFY1||APACFY2||APACFY3||
APACFY4||APACFY5||APACFY6||APACFY7||APACFY8;
OUTBOT3=EPCFYAR1||EPCFYMA1||EPCFY1||EPCFY2||EPCFY3||
EPCFY4||EPCFY5||EPCFY6||EPCFY7||EPCFY8;
MOUT=OUTTOP//OUTBOT;MOUT2=OUTBOT2//OUTBOT3;
COLNAME1=
{'covyar1' 'covyma1' 'cory1' 'cory2' 'cory3' 'cory4'
'cory5' 'cory6' 'cory7' 'cory8'};
CREATE COV FROM MOUT[COLNAME=COLNAME1];
APPEND FROM MOUT;
COLNAME1={'covyar1' 'covyma1' 'cory1' 'cory2' 'cory3' 'cory4'
'cory5' 'cory6' 'cory7' 'cory8'};
CREATE APACF FROM OUTBOT2[COLNAME=COLNAME1];
APPEND FROM OUTBOT2;
COLNAME1={'pacyar1' 'pacyma1' 'pacy1' 'pacy2' 'pacy3' 'pacy4'
'pacy5' 'pacy6' 'pacy7' 'pacy8'};
CREATE EPACF FROM MOUT2[COLNAME=COLNAME1];
APPEND FROM MOUT2;
RUN;
DATA COV;
RETAIN T;
LENGTH _TYPE_ $ 9;
SET COV;
IF _N_<=25 THEN _TYPE_='ACTUAL';
ELSE _TYPE_='ESTIMATED';
IF _N_=1 OR _N_=26 THEN T=-1;T=T+1;
LABEL T='LAG';
RUN;
DATA APACF;
SET APACF;
T=_N_;
_TYPE_='PACF';
RUN;
DATA APACFACF;
SET APACF COV;
IF T<=10;
IF _TYPE_ NE :'E';
IF _TYPE_=:'A' THEN _TYPE_='ACF';
RUN;
DATA PAC;
SET EPACF;
LENGTH _TYPE_ $ 9;
RETAIN T;
IF _N_<=10 THEN _TYPE_='ACTUAL';
ELSE _TYPE_='ESTIMATED';
IF _N_=1 OR _N_=11 THEN T=0;
T=T+1;
LABEL T='LAG';
RUN;
DATA COV;
SET COV;
IF T<=10;
LABEL T='LAG';
RUN;
DATA COVA;
SET COV;
IF _TYPE_=:'A';
RUN;
/* Use the DATA step below with the appropriate PROC statements in */
/* Chapter 3, "The General ARIMA Model," of the SAS FOR */
/* FORECASTING TIME SERIES, SECOND EDITION, to produce Output 3.6- */
/* Output 3.9. */
DATA STEEL;
INPUT EXPORT @@;
TITLE 'IRON AND STEEL EXPORTS EXCLUDING SCRAPS';
TITLE2 'WEIGHT IN MILLION TONS';
TITLE3 '1937-1980';
RETAIN YEAR 1936;
YEAR+1;
CARDS;
3.89 2.41 2.8 8.72 7.12 7.24 7.15 6.05 5.21 5.03 6.88 4.7 5.06 3.16
3.62 4.55 2.43 3.16 4.55 5.17 6.95 3.46 2.13 3.47 2.79 2.52 2.8 4.04
3.08 2.28 2.17 2.78 5.94 8.14 3.55 3.61 5.06 7.13 4.15 3.86 3.22
3.5 3.76 5.11
;
RUN;
/* Use the DATA step below with the appropriate PROC statements in */
/* Chapter 3, "The General ARIMA Model," of the SAS FOR */
/* FORECASTING TIME SERIES, SECOND EDITION, to produce Output 3.11- */
/* Output 3.14. */
TITLE 'SERIES B';
TITLE2 'IBM DAILY STOCK PRICES 17MAY61 TO 2NOV62';
DATA IBM;
INPUT PRICE @@;
RETAIN;
T=_N_;
CARDS;
460 457 452 459 462 459 463 479 493 490 492 498 499 497 496 490 489 478
487 491 487 482 479 478 479 477 479 475 479 476 476 478 479 477 476 475
475 473 474 474 474 465 466 467 471 471 467 473 481 488 490 489 489 485
491 492 494 499 498 500 497 494 495 500 504 513 511 514 510 509 515 519
523 519 523 531 547 551 547 541 545 549 545 549 547 543 540 539 532 517
527 540 542 538 541 541 547 553 559 557 557 560 571 571 569 575 580 584
585 590 599 603 599 596 585 587 585 581 583 592 592 596 596 595 598 598
595 595 592 588 582 576 578 589 585 580 579 584 581 581 577 577 578 580
586 583 581 576 571 575 575 573 577 582 584 579 572 577 571 560 549 556
557 563 564 567 561 559 553 553 553 547 550 544 541 532 525 542 555 558
551 551 552 553 557 557 548 547 545 545 539 539 535 537 535 536 537 543
548 546 547 548 549 553 553 552 551 550 553 554 551 551 545 547 547 537
539 538 533 525 513 510 521 521 521 523 516 511 518 517 520 519 519 519
518 513 499 485 454 462 473 482 486 475 459 451 453 446 455 452 457 449
450 435 415 398 399 361 383 393 385 360 364 365 370 374 359 335 323 306
333 330 336 328 316 320 332 320 333 344 339 350 351 350 345 350 359 375
379 376 382 370 365 367 372 373 363 371 369 376 387 387 376 385 385 380
373 382 377 376 379 386 387 386 389 394 393 409 411 409 408 393 391 388
396 387 383 388 382 384 382 383 383 388 395 392 386 383 377 364 369 355
350 353 340 350 349 358 360 360 366 359 356 355 367 357 361 355 348 343
330 340 339 331 345 352 346 352 357
;
RUN;
/* Use the DATA step below with the appropriate PROC statements in */
/* Chapter 3, "The General ARIMA Model," of SAS FOR */
/* FORECASTING TIME SERIES, SECOND EDITION, to produce Output 3.15-3.18. */
DATA SILVER;
INPUT SILVER @@; DEL = SILVER-LAG(SILVER);
TITLE 'MONTH END STOCKS OF SILVER';
RETAIN DATE '01DEC75'D;
DATE=INTNX('MONTH',DATE,1);
FORMAT DATE MONYY.;
PART=1;
IF DATE > '01APR80'D THEN PART=2;
IF PART=1 THEN SILV=SILVER;
ELSE SILV=.;
OUTPUT;
RETAIN;
DEL4=DEL3;
DEL3=DEL2;
DEL2=DEL1;
DEL1=DEL;
LSILVER=SILVER;
* SAS dataset up to 845. Some errors found and
corrected ;
CARDS;
846 827 799 768 719 652 580 546 500 493 530 548
565 572 632 645 674 693 706 661 648 604 647 684
700 723 741 734 708 728 737 729 678 651 627 582
521 519 496 501 555 541 485 476 515 606 694 748
761 794 836 845
822 820 826 826 821 871 858 866
859 854 854 853 848 867 856 785 774 758 773 776
769 783 771 814 780 729 662 606 615 579 800 907
904 1064 972 914 899 909 921 1136 1293 1279 1298 1274
1238 1174 1168 1153 1136 1209 1205 1151 1150 1145 1149 1185
1215 1233 1066 1068 1042 1324 1393 1434 1440 1492 1537 1553
1432 1453 1482 1552 1479 1519 1502 1587 1568 1377 1449 1454
1502 1600 1573 1577 1561 1522 1521 1601 1564 1548 1558 1563
;
RUN;
PROC ARIMA data=silver;
i var=silv center stationarity=(ADF=1) noprint;
e p=2 ml noprint;
f lead=72 out=outs ID=DATE INTERVAL=MONTH NOOUTALL;
run;
PROC PRINT; run;
PROC ARIMA data=silver;
i var=silv(1) noprint;
e p=1 ml noconstant noprint;
f lead=72 out=outn ID=DATE INTERVAL=MONTH NOOUTALL;
run;
DATA SILVER2;
MERGE SILVER OUTS(RENAME= (FORECAST=FORS U95=US L95=LS))
OUTN(RENAME= (FORECAST=FORN U95=UN L95=LN)) ;
BY DATE;
IF DATE > '01JAN82'D THEN DO;
UN=.;
LN=.;
END;
IF DATE > '01JAN84'D THEN DO;
US=.;
LS=.;
END;
RUN;
/*3.19-3.22*/
DATA AMAZON;
INPUT DATE OPEN HIGH LOW CLOSE VOLUME;
TITLE "DATA ON AMAZON.COM STOCK";
OPEN=LOG(OPEN);
CLOSE=LOG(CLOSE);
HIGH=LOG(HIGH);
LOW=LOG(LOW);
VOLUME=LOG(VOLUME);
TITLE2 "DATA IN LOGORITHMS";
SPREAD=HIGH-LOW;
FORMAT DATE DATE7.;
CARDS;
14389 117.25 121.125 111.375 111.5625 7755100
14388 128.625 129.375 116 117.5 7126900
14385 130.75 132 125.75 128.5625 4002800
14384 136.75 138 130.5 130.8125 3447000
14383 133.9375 139.625 133.5 139.5625 6309600
14382 136.4375 137.5 130.9375 132.625 6203900
14381 130 138 121.5 137.625 10429100
14378 133.125 134.75 129.8125 132.375 5633400
14377 144.375 147.875 136 136 5749500
14376 148.0625 148.625 141.5 142.9375 3663700
14375 150.6875 153.875 144 148.375 6970700
14374 136.625 147 134 146.875 7120600
14371 140.75 144 131 136.375 8327000
14370 148 151 135.75 137.375 9142200
14369 143.875 148.25 133.875 146.5 13854900
14368 152.625 160.5 140.5 143 10848200
14367 166.875 167.062 150.125 150.938 13093200
14364 177 180 165 172.062 8888200
14363 172.438 181.75 165 168.25 21104200
14362 200 202 182.375 193.5 9736900
14361 217 221.25 202 205.875 8947700
14360 209 215.875 204 207.188 6992500
14357 192.875 216.5 191.75 210.125 15858400
14356 184.312 191 177.938 190.062 6269100
14355 172.375 182 169 179.25 5541000
14354 157.312 174.312 153.5 172 10002500
14353 189 189 155 158.938 14184900
14350 183.875 191.5 180.688 190 15830100
14349 165.875 170.5 151 167.25 8249200
14348 182 184.5 166.625 168 4976400
14347 186.75 192 178.25 178.375 4019400
14346 176.125 188.25 176 184.438 4284600
14343 178.125 186 175.75 182.875 3419500
14342 174.812 184.125 166 179 5743900
14341 186.625 187.312 171.25 175.812 6583300
14340 184.5 195.75 179.5 182.875 7265900
14339 172.625 187.5 171.75 186.5 7958400
14335 179.375 180.125 167.5 171 5786600
14334 171.25 178 165.125 172.188 11047100
14333 152 169.5 151.531 164.688 13088700
14332 150 151.5 148 149.625 9444000
14329 140 147.75 137.375 139.062 12461000
14328 128.938 140 128.188 139.875 8049900
14327 117.188 124 114 123.688 5771900
14326 128.625 129.875 118 119.375 5608400
14325 133.188 136.5 130.5 132 3299200
14322 141.875 143.062 135 135.062 5362600
14321 132.875 140 132.375 138.438 6150100
14320 131.312 133.5 128.25 131 3933700
14319 139 140.375 132.75 133.812 3767200
14318 133 139 131 138.938 3510400
14315 134 135.375 128.625 133.312 4666300
14314 139.75 142.75 131 134.875 8126100
14313 136.75 138.938 134 137.125 7058800
14312 125.125 133.25 123.438 129.938 8146000
14311 121.438 126.438 119.25 122.188 5231300
14308 123.938 124.5 118.375 121.5 6088100
14307 125.5 127 115.875 120.125 8943700
14306 123.75 127.5 120.25 123.5 7764400
14305 134.438 135.75 121.062 121.312 8301600
14304 127 136.062 124 133 9684500
14301 126.75 130 121 128.125 12682700
14300 116.625 125.625 114.625 125 18344900
14299 117.625 122.188 110.25 110.938 12393200
14298 110.125 117 109.5 115.188 10569600
14297 101.75 109.625 98 106.5 9606100
14294 94.375 102.5 91 101.875 13459100
14293 96.5 96.5 84.25 89.5 10781300
14292 98.4375 102.062 92.5 93.5 4834300
14291 106.875 108.5 97 98.625 3889900
14287 108 109.875 103.625 104.5 3882700
14286 100.5 110.188 99.5 109.875 6896500
14285 98.25 103.375 95 97.4375 6602500
14284 107.938 108 99.9375 100 6413000
14283 114.375 115.125 105.75 109.125 6299100
14280 117 122.875 112.312 115.875 4283000
14279 125.25 126.75 116.25 118 5824800
14278 109 126 108.5 125.75 9395500
14277 116.375 116.438 108.5 110.25 6524300
14276 117.75 122.312 115 115.875 6390500
14273 121.625 121.625 115 116.938 8198000
14272 126.438 128.75 120.25 122.875 11875300
14271 134.125 139.75 120 125.625 17511300
14270 112.625 121.25 110.625 115.094 12267400
14269 121.5 123.375 110 112.375 13661900
14266 99.5 125.875 98.75 123 21882900
14265 104.5 110.375 92.5625 106 23524100
14264 135.062 137 109.75 113 15267600
14263 150.5 150.5 136.25 139.812 5702700
14259 140 150.062 137.625 140.375 10066300
14258 150 159.25 136 138 10456200
14257 125 163.5 125 148 14938200
14256 180.5 182 159 163.375 12221600
14255 184 185 167.625 184.625 19461500
14252 184.25 199.125 152 160.25 33331100
14251 137.125 160.25 133 158.875 23637300
14250 136.375 140.375 134 138 18088300
14249 109.562 129.75 106.5 124.5 31436600
14248 109.229 118.667 106.625 118.312 6548700
14244 105.75 110.333 105.375 107.083 3049700
14243 111 114.417 101.292 107.083 5430600
14242 116.667 116.708 109.5 110.771 4101300
14241 110.333 120.625 108.333 117.312 4983100
14237 107.417 109 106.333 108.271 902300
14236 109.333 110 106.375 108.333 2427300
14235 108.979 109.667 102.875 107.458 5293400
14234 101.167 107.25 100 106.25 5564000
14231 94.3333 96.3333 92.625 95.5625 3825300
14230 88 97.1667 86.8542 92.25 11272500
14229 86.375 100.583 86.3333 96.3333 16966200
14228 75.6667 81 75.1667 80.9167 6335900
14227 73.7083 76.6667 72.6667 74.0833 6458500
14224 70.0208 74.6667 70 74.3333 4244600
14223 72.5417 74.6667 69.875 71.0417 5060300
14222 68.4583 74.7708 67.3333 72.0833 7751100
14221 63.2083 68.625 62.8333 68.0208 4258300
14220 64.3333 64.6667 61.7083 63.6667 2629000
14217 65.1667 65.6667 60.8333 62.8333 3709600
14216 66.375 68.1667 61.6667 63.1667 3639400
14215 68.9792 69.1667 65.8542 66.5 4941500
14214 61.8333 69.9167 60.6667 69.8333 7859100
14213 73.2083 73.4167 63.9167 64 4958700
14210 72.4167 72.6667 71 72.2083 1597800
14208 72.1667 74.5 68.3333 70.1042 4587100
14207 74.6667 77.7083 68.3333 71.5 13612600
14206 63.625 72.8333 62.0208 72.6667 11296900
14203 58.3333 60.5833 55 60.2083 11152100
14202 57 58.5 51 51.0833 6482600
14201 50.5417 56.875 50.5 54.6667 9855600
14200 43.125 51.4167 42.8333 49.5 10190300
14199 42.8333 43.2917 41.1667 42.0833 1982900
14196 43.9792 44.5 41.9062 42.5833 1490100
14195 41.8333 44.2917 41.6667 43.6667 1995800
14194 44.5417 44.75 41.75 42.2083 2743900
14193 42.75 46.6667 42.7083 43.9167 5729300
14192 40.625 42.4792 40.25 42.2917 3640600
14189 42 42.75 41.3333 41.5208 3149000
14188 42.5625 43.375 42.0833 42.8333 2455400
14187 43.7917 44 42.2083 43.2708 3397200
14186 43.7083 44.3542 41.9167 42.0208 3064700
14185 42.7083 43.8125 41.5 43.6667 5249000
14182 42.2083 43.2708 41.5417 42.1458 3530400
14181 40.4375 42.4167 39.6667 42.1667 5488700
14180 38.9792 39.8333 38.0833 39.0208 3315300
14179 41.375 42 38.6875 38.7708 3360700
14178 39.7083 40.625 38.9167 40.4792 3252800
14175 38.1667 39.4375 38.0417 38.7083 2270800
14174 35.875 39.2917 35.7917 38.2292 4449200
14173 36.4792 36.75 35.2083 36.6667 2103000
14172 36.25 37.5 35.5417 35.5833 3194600
14171 33 35.625 33 35.25 2780200
14168 32.875 33.9792 32.3333 33.1458 3567500
14167 31.4167 32.625 30.8333 32.3542 2828500
14166 30.3542 32.5417 29.9167 31.1667 2598400
14165 30.6042 31.7917 30.2083 30.4583 1780900
14164 32.375 33.6667 31 31.0625 3636200
14161 30.0833 30.625 27.9167 30.3958 3454500
14160 27.625 29.3333 26.6667 28.7292 5064100
14159 34.2083 34.9167 30.4167 31.1458 7139000
14158 37.1667 37.4167 34.6667 36.1042 4695300
14157 36.2917 37 33.6667 34.901 4082700
14154 35.1042 37.2917 33.6667 36.75 5749300
14153 36 37 33.3333 34.2083 5732000
14152 37.1667 38.5 36.2708 37.2083 4905100
14151 39.0833 39.8542 37.1667 37.7083 6389300
14150 38.7917 40 37.2917 38.5417 6434100
14147 32.8333 36.875 32.8333 36.4167 6099800
14146 35.7083 38.9583 33.8333 34.0417 8520700
14145 30.2708 35.1667 30 35.0417 7597300
14144 29.4167 30.5 29.2083 29.3958 5050900
14143 25.3333 28.9583 25.3333 28.5 3961200
14140 25.9167 27.0625 25.8958 26.5625 2790400
14139 26.8125 27.8333 25.5 25.6667 7076300
14138 24.75 28.6458 23.8333 28.1667 6519800
14137 23.6042 24.9167 23.4583 24.3333 2871400
14136 26.7917 26.8333 24.5 24.5625 2510000
14133 26.125 26.9583 24.5 25.3542 3935400
14132 26.4583 26.8333 25.0833 26.5417 5328300
14131 29.8333 30.7917 27.7917 28.1667 2982700
14130 31.3333 31.5833 30 30.75 3656100
14126 28.8958 30 27.3333 28.75 2968700
14125 27.875 30.0833 26.9167 28.625 4245200
14124 27.7083 32 27.3333 29.2917 7888100
14123 25.375 28.875 21.6667 26.651 11241800
14122 35.1458 35.875 27.7083 27.9167 6833400
14119 39.9167 40.2917 34.4167 35.2969 6506000
14118 41.4583 41.6667 39.6667 39.6667 2671200
14117 43.25 43.4167 42.2708 42.4167 2731800
14116 45.8125 45.8333 43.5833 43.875 2391900
14115 43.4167 45 43.375 44.9167 2324900
14112 42.4167 43.4271 41.0833 43.2292 2522700
14111 42.0833 43.25 41.8333 43.0417 2647700
14110 43.75 44.5833 42.3333 42.9167 3213600
14109 40.3958 43.0417 39.7083 42.8958 3000100
14108 40.25 41.0625 39.5 39.8958 2436300
14105 43.5625 43.5833 40.0833 40.9167 3235000
14104 43.5417 45 42.3333 42.5 4104900
14103 42.25 43.8333 41.3542 43.4583 3356800
14102 38.5 42.2917 38.4167 41.3333 4693100
14101 39 40.625 38.3333 40.5417 3086000
14098 37.0833 39.625 36.4583 38.6667 3905500
14097 34.7917 37.5 34.3542 36.5 3100600
14096 37.6042 37.7083 33.3333 35.3958 3843400
14095 36.7083 38.0417 36.0417 36.625 4677500
14094 36.5833 37.1667 35.75 36.0833 2152200
14091 38.1667 38.375 36.375 36.9583 2240100
14090 37.25 38.3333 35.1667 37.9167 5295700
14089 40.1667 40.5 35.8333 35.9375 3274100
14088 41.4792 42 39.3333 39.6458 3457800
14087 39.7083 42.4583 38.5417 41.8542 4805100
14084 43.0833 43.8333 39 41.4167 4829000
14083 43.3333 46.1667 42.3333 42.5417 4635100
14082 44.6667 46.625 43.5 44.6667 4662400
14081 45.75 49 42.6667 44.0208 7888000
14080 40.375 46.7083 39.9167 45.8333 5987500
14077 37.4583 40.1667 37.2917 39.9375 2971000
14076 37.8125 38.3333 36.1667 37.7917 2333200
14075 38.6667 39.125 36.5833 37.5 2935000
14074 36.1667 38.5833 35.6667 38.3333 4226400
14073 32.1667 36 31.4167 35.875 3208000
14070 34.3333 35.2917 32.7083 33.1667 4163700
14069 36.875 38.8333 35 35.1667 4915500
14068 37.2917 39.6667 34.125 35.7083 9718600
14067 47.6667 47.9167 40.3333 40.7083 7875300
14066 42.4583 46.9167 41.8333 46.5 7813900
14062 38.5833 41.8333 37.5 41.3333 8713300
14061 33.9375 38.1667 33.5833 38.0417 4709100
14060 32.6042 33.8333 32.25 33.25 3646200
14059 31.5833 33.2083 31.5833 32.9167 4084600
14056 32.5 33.4167 31.25 31.4167 5191600
14055 33.3333 34.9167 32 33.0208 9077500
14054 31.6667 33.5833 29.7083 33.2708 9784100
14053 27.0208 30.9167 26.8333 30.8958 6243900
14052 24.9167 27.4583 24.0833 27.125 6053000
14049 23.6875 25.4167 22.6667 25.2708 6113100
14048 27 27.5 23.9167 24.0417 5273300
14047 25.2917 27.0625 25.125 26.3333 6710900
14046 22.25 24.5833 22.1667 24.5417 6527900
14045 19.8333 22.8333 19.7083 21.9167 5616900
14042 21.1667 21.1667 19.4167 20.3333 3609300
14041 18.4167 20.875 18.3333 20.8333 5975200
14040 17.2083 18.75 17 18.0417 4047500
14039 15.4792 17.2917 15.4167 17.0833 3239400
14038 14.6042 15.4375 14.5 15.4167 910500
14035 14.5833 14.7917 14.375 14.75 571200
14034 14.3125 14.6458 13.75 14.625 832600
14033 14.9583 15.0833 14 14.0833 1096900
14032 14.5417 14.8333 13.8333 14.5625 1366900
14031 14.6667 14.75 13.8854 14.2708 670300
14028 14.3125 14.8333 14.25 14.6875 720100
14027 14.5417 14.625 14.2083 14.3229 784400
14026 13.3958 14.5625 13.2917 14.4375 1936200
14021 14.7292 14.7708 14.25 14.3333 488500
14020 14.9167 15 14.5521 14.7917 283600
14019 15.0625 15.25 14.7083 14.7708 337400
14018 14.9375 15.1042 14.875 15.0625 285300
14017 15 15.1042 14.4583 14.6771 551500
14014 15.3125 15.4167 14.9167 14.9375 385700
14013 15.3333 15.7708 15.1667 15.2604 716700
14012 15.0833 15.6667 14.9583 15.4792 1162000
14011 14.625 15.3229 14.4375 15.2292 969700
14010 15.4896 15.5 14.4167 14.4792 947700
14007 15.2083 15.4583 14.9167 15.3958 399400
14006 15.1667 15.5 14.7083 15.1667 1157300
14005 15.6667 15.6667 15.0208 15.0625 619900
14004 15.6667 15.9167 15.5208 15.6198 499900
14003 15.8333 15.9792 15.5625 15.875 644600
14000 15.4583 15.8542 15.0833 15.75 775600
13999 16.25 16.3333 15.0833 15.2917 1873800
13998 16.2083 16.4375 15.6042 15.9167 2638100
13997 15.4792 16.5833 14.8438 15.9375 5799500
13996 13.8958 14.1042 12.8542 13.7917 1573800
13993 13.6667 14.625 13.5833 14.1458 1398800
13992 14.5 14.5 13.4167 13.5 1021100
13991 15.5417 15.6042 14.5 14.5417 941800
13990 15.875 15.8958 15.1875 15.5104 696200
13989 15.8958 16.5833 15.625 15.7083 748300
13986 15.9688 16.2083 15.75 15.8125 586300
13985 16.0208 16.5521 15.5312 16.4167 1353700
13984 16.3333 16.6667 15.75 16.0208 932700
13983 15.6458 16.6458 15.5417 16.1979 1360300
13982 15.8125 16.0417 15.3333 15.7188 915000
13978 15.3958 16 15.2708 15.875 1336200
13977 14.3958 14.9583 14.25 14.7708 942900
13976 14.5 14.5417 14.125 14.3333 969500
13975 15.7083 15.7917 14.7083 14.7708 918700
13972 16.0417 16.0625 15.375 15.5 974500
13971 15.1875 16.125 14.9583 15.8438 1386900
13970 14.2083 15.0625 14.0052 15.0208 1204300
13969 14.2292 14.4167 13.9583 14.2552 547100
13968 14.3125 14.5833 14.1875 14.3125 458400
13965 14.0417 14.5208 13.7917 14.1667 637200
13964 13.625 13.9583 13.25 13.7917 656500
13963 14.1667 14.2917 13.5 13.6146 940800
13962 13.75 14.4583 13.75 14.0417 473400
13961 13.9271 14.125 13.7917 13.9688 250400
13958 14 14.1458 13.8542 14 534400
13957 14.2292 14.5833 13.9583 14 1009600
13956 13.2083 14.2917 13.2083 14.2188 1138300
13955 13.2917 13.375 12.9792 13.3125 258400
13954 13.2604 13.4583 13.1667 13.1667 276000
13951 13.2708 13.4792 12.9583 13.1146 543600
13950 13.125 13.5208 12.8542 13.0833 816600
13949 13.6667 13.75 13.0417 13.2708 1029100
13948 14.25 14.7083 13.8125 13.8516 2062500
13947 12.8125 14.2917 12.7917 13.9167 1921300
13944 12.6042 12.8333 12.2917 12.7917 490600
13943 11.9583 13.0312 11.875 12.5 1000100
13942 12 12.375 11.6667 12.2396 609500
13941 12.5833 12.625 11.9167 11.9583 668000
13940 12.6458 12.875 12.5 12.7083 913100
13937 12.0417 13.2708 11.9688 12.8333 2058900
13936 10.9271 12.1667 10.875 12.125 1281100
13935 10.9375 11.0833 10.5208 10.9792 562100
13934 10.8333 11.3542 10.7083 10.8125 1162100
13933 10.5833 10.8333 10.4167 10.8125 331500
13930 10.4583 10.5833 10.2292 10.5417 225300
13929 10.2188 10.5833 10.1667 10.4583 369700
13928 10.2917 10.2917 10.1042 10.1458 247600
13927 10.4375 10.4375 10.1458 10.2917 198000
13923 10.5 10.5417 10.2917 10.375 701700
13922 10.5417 10.6042 10.375 10.5208 253000
13921 10.5833 10.9271 10.5625 10.5833 539500
13920 9.75 10.6354 9.6667 10.6042 1024700
13919 9.8333 9.9167 9.5417 9.7083 218900
13916 9.8542 10.0417 9.75 9.8125 176900
13915 10.2292 10.2292 9.75 9.875 486000
13914 10.125 10.375 10.1042 10.125 102900
13913 10.375 10.5 10.1875 10.3021 369100
13912 9.8958 10.4167 9.875 10.3958 576100
13909 10 10.125 9.7708 9.8333 310200
13908 9.5833 9.9792 9.5625 9.9167 403000
13907 9.5 9.6667 9.25 9.5417 441100
13906 9.6354 9.7292 9.3333 9.5 342000
13905 9.9583 9.9792 9.4792 9.625 392700
13902 10.6875 10.6875 9.875 9.875 759900
13901 10.1458 10.5417 10.0417 10.2708 789300
13900 9.875 10.3333 9.75 10.1458 728200
13899 9.6458 10.0208 9.625 9.9062 455600
13895 9.9167 9.9583 9.5417 9.5833 213600
13894 9.5833 10.0208 9.5833 9.9062 501200
13893 9.3125 9.75 9.25 9.75 708800
13892 8.6875 9.3333 8.6458 9.2917 610100
13891 8.3333 8.7708 8.2917 8.6042 616800
13888 9.3333 9.3333 8.4583 8.5208 553600
13887 9.3958 9.4062 9.0625 9.2292 501300
13886 9.6667 9.6667 9.3854 9.5625 227100
13885 9.3958 9.75 9.3333 9.6771 347900
13884 9.7708 9.875 9.4167 9.5 299200
13881 10 10 9.5938 9.9167 138400
13879 9.75 10.0833 9.6875 10.0417 370500
13878 9.6667 9.8125 9.5625 9.6979 523800
13877 9.1667 9.5625 9.0625 9.5 212700
13874 9.125 9.2917 8.9792 9.0417 40600
13872 9.25 9.4167 8.9375 9.2083 194700
13871 9.375 9.4792 9.25 9.25 98100
13870 9 9.5625 8.8646 9.3958 362700
13867 8.4583 9.0417 8.3333 9 396100
13866 8.7083 8.8542 8.4583 8.5833 267000
13865 8.75 8.9167 8.5104 8.7812 511700
13864 9.2917 9.2917 8.9167 8.9167 140600
13863 9.1667 9.3333 8.8125 9.1667 141200
13860 9.2917 9.6042 8.8125 9.0833 222700
13859 8.7917 9.6667 8.7917 9.375 417900
13858 9.1667 9.25 8.7917 9.0208 120400
13857 9.3333 9.5417 9.2083 9.375 111000
13856 9.0833 9.5417 9.0417 9.4167 397200
13853 8.875 9.1875 8.7083 9.1875 221800
13852 8.8021 9.1042 8.7708 9 253200
13851 8.3958 8.75 8.375 8.7292 107500
13850 8.5208 8.6042 8.3542 8.4688 105200
13849 8.4792 8.75 8.2708 8.5417 198600
13846 8.5417 8.6667 8.2292 8.25 133600
13844 8.4792 8.8229 8.4792 8.5208 135900
13843 8.4792 8.6667 8.0833 8.4062 275400
13842 8.75 8.8333 8.4583 8.4583 168300
13839 9.1042 9.1667 8.9792 8.9792 216900
13838 9.1458 9.2083 9.0208 9.1667 493600
13837 8.8125 9.0417 8.625 9.0208 211200
13836 8.75 8.9583 8.6875 8.8333 155500
13835 8.4583 9.0833 8.4375 8.75 616200
13832 7.875 8.4167 7.5625 8.3333 489100
13831 7.8958 7.9375 7.5417 7.7188 357500
13830 7.5521 8.375 7.3333 7.5417 723600
13829 8.4896 8.625 7.8333 7.8958 359400
13828 9 9.125 8.4167 8.4167 230400
13825 8.8333 9.2812 8.7708 8.9583 218900
13824 9.8333 9.8333 9.2708 9.3229 242800
13823 9.9583 10.2396 9.75 9.75 257800
13822 10 10.1042 9.6458 9.9167 197100
13821 10.4375 10.4375 9.8958 10.1458 166600
13818 10.7292 10.9167 9.9375 10.1667 418900
13817 10.4167 10.7083 10.0833 10.25 397500
13816 10.2917 11 10 10.7812 593900
13815 7.8333 10 7.75 9.8958 976600
13814 9.6042 10.0208 8.4583 8.5417 507600
13811 9.5 10.125 9.0833 10.0521 791000
13810 8.4583 9.125 8.375 9 471400
13809 8.8333 9.2396 8.75 9.0417 434000
13808 7.9167 8.875 7.7083 8.8542 1008000
13807 7.3542 7.75 7.3333 7.6458 409400
13804 7.2292 7.3125 7.0417 7.25 211200
13803 7.9583 7.9583 7.2083 7.25 290100
13802 7.9375 7.9375 7.5417 7.8438 196300
13801 8.125 8.2083 7.6667 7.9583 128900
13800 7.8542 8.0833 7.8542 8 67900
13797 7.4583 8.125 7.3333 7.8021 315600
13796 8 8.0417 7.4792 7.5 329200
13795 8.2917 8.3333 7.9688 8.0104 233900
13794 8.1667 8.375 8.0833 8.1146 145200
13793 8 8.25 7.8854 8.25 169000
13790 8.1667 8.25 7.9583 8.0312 97000
13789 8.0833 8.3542 7.9792 8.0208 156400
13788 8.875 9 7.875 8.0417 416600
13787 8 8.6979 7.6042 8.6771 437900
13786 8.2917 8.375 7.9167 8.0833 197600
13783 8.1458 8.5208 8.1042 8.3333 227600
13782 8.6875 8.7083 8.1042 8.1562 414000
13781 9.2917 9.625 8.5833 8.75 683400
13780 8.9792 9.2917 8.7917 9.25 640200
13779 8 9.3542 7.8958 9 1411500
13776 6.7604 8.1667 6.75 7.8958 744100
13775 6.875 6.9375 6.5625 6.5833 177400
13774 6.9167 7 6.6667 6.8125 217300
13773 6.25 7.0833 6.2396 6.7083 536000
13772 7.3333 7.3542 6.1042 6.1875 465300
13769 6.375 7.3958 6.3125 7.375 277800
13768 6.6667 6.6667 6.0833 6.3125 355200
13767 6.625 6.6562 6.25 6.6042 322200
13766 6.2812 6.7708 6.0521 6.4792 747600
13765 5.0625 6.0417 5 6 470700
13762 5.1667 5.3333 4.9167 5 159000
13761 4.7292 5.1042 4.6875 5.1042 279000
13760 4.6875 4.8333 4.625 4.6667 163700
13759 4.6875 4.75 4.6667 4.7083 61000
13755 4.7292 4.75 4.6458 4.6771 60200
13754 4.6042 4.7917 4.5625 4.75 95600
13753 4.6146 4.6458 4.5 4.6354 116000
13752 4.4792 4.7083 4.4583 4.6875 214500
13751 4.2083 4.5208 4.2083 4.4375 93900
13748 4.2083 4.25 4.1875 4.25 59400
13747 4.2708 4.3438 4.1458 4.2292 52000
13746 4.375 4.375 4.1458 4.3333 83300
13745 4.1875 4.4167 4.1042 4.3333 83600
13744 4.1042 4.1042 3.9375 4.0833 148700
13741 4.2708 4.3125 3.875 4.2292 133100
13740 4.3542 4.5 4.2396 4.3125 86800
13739 4.4583 4.4583 4.3333 4.3958 49200
13738 4.5625 4.6042 4.3958 4.3958 47600
13737 4.5833 4.6667 4.5 4.6562 103300
13734 4.3333 4.6042 4.2083 4.5833 184300
13733 4.5 4.5208 4.25 4.3542 169500
13732 4.4167 4.625 4.375 4.5 103600
13731 4.6667 4.6667 4.2917 4.4167 252700
13730 4.75 4.8229 4.6042 4.625 222600
13727 4.6875 4.8333 4.5 4.8333 299000
13726 4.875 4.875 4.6667 4.7917 121200
13725 5 5.0104 4.8542 4.8958 209800
13724 4.7292 5 4.6667 4.9583 401200
13723 4.4583 4.7917 4.4375 4.6458 214500
13720 4.4375 4.5 4.4375 4.4583 51700
13719 4.6042 4.625 4.4375 4.5208 101400
13718 4.375 4.6667 4.3542 4.5833 271600
13717 4.3333 4.375 4.125 4.2708 130300
13716 4.3542 4.3958 4.2917 4.3646 47900
13713 4.375 4.4375 4.3125 4.3125 65000
13712 4.6875 4.6875 4.3125 4.4375 264100
13711 4.8958 4.9896 4.6042 4.6667 252000
13710 4.2708 4.9583 4.2708 4.875 772900
13709 4.6458 4.6667 4.2292 4.2708 383700
13706 5.0417 5.0417 4.4167 4.5833 877600
13705 4.6667 5.1458 4.6667 5.125 754300
13704 4.6042 4.7708 4.5417 4.6458 688500
13703 4.0833 4.6667 4.0833 4.6042 1293100
13702 3.6667 4.0417 3.6667 4 671100
13698 3.1979 3.8333 3.1875 3.8229 1048100
13697 3.0312 3.1875 3.0208 3.1771 323500
13696 3.0833 3.0833 3.0208 3.0312 107700
13695 3.0208 3.1979 2.9583 3.0833 228900
13692 3.0312 3.0312 2.9583 2.9792 99000
13691 3.0417 3.0417 3.0104 3.0208 265800
13690 3.0521 3.0521 2.9792 3.0208 175500
13689 3.0104 3.0521 2.9583 3.0208 62600
13688 3.0833 3.0833 2.9583 3 87300
13685 3.0625 3.1042 3 3.0521 282300
13684 3.0208 3.0625 3 3.0208 83600
13683 3.0417 3.0729 3 3.0208 205400
13682 3.1979 3.1979 2.9896 3.0104 392200
13681 3.2083 3.2083 3.125 3.1458 76100
13678 3.25 3.25 3.1667 3.1667 57800
13677 3.1667 3.2917 3.1042 3.2083 136000
13676 3.1875 3.2083 3.0625 3.0833 99000
13675 3.4167 3.4167 3.0625 3.1667 454900
13674 3.3125 3.4167 3.3125 3.375 196000
13671 3.0312 3.4167 3.0208 3.3125 650600
13670 2.8333 3.0833 2.75 3.0833 472700
13669 2.9583 2.9792 2.7917 2.8333 256700
13668 3.0625 3.0625 2.9583 2.9583 98600
13667 3.0208 3.0625 3 3.0208 49300
13664 3 3.0208 2.9583 3 216200
13663 3.0833 3.0833 2.9583 3.0104 289400
13662 3.25 3.2708 3.0625 3.0625 381200
13661 3.0208 3.2917 2.9167 3.1667 724800
13657 2.8125 3.0417 2.6667 3 1328100
13656 2.875 2.8958 2.625 2.7917 981400
13655 3.2708 3.2917 2.75 2.8542 1571100
13654 3.4583 3.5 3.2708 3.2708 455600
13653 3.5208 3.5417 3.25 3.4167 508900
13650 3.9375 3.9583 3.4167 3.4583 1225000
;
RUN;
PROC SORT;
BY DATE;
RUN;
DATA NEXT;
SET AMAZON END=EOF;
OUTPUT;
IF EOF THEN DO I=1 TO 100;
DATE=INTNX('DAY',DATE,1);
OPEN=.;
HIGH=.;
LOW=.;
CLOSE=.;
VOLUME=.;
SPREAD=.;
OUTPUT;
END;
RUN;
PROC REG DATA=NEXT;
MODEL CLOSE SPREAD VOLUME=DATE;
OUTPUT OUT=OUT1 PREDICTED=PCLOSE PSPREAD PVOL;
RUN;
PROC ARIMA DATA=NEXT;
I VAR= CLOSE CROSSCOR=(DATE) NLAG=10;
E P=1 INPUT=(DATE) ML;
F LEAD=100 OUT=OUT1 ID=DATE;
I VAR = CLOSE OUTCOV= ACFCL;
I VAR = CLOSE(1) OUTCOV=ACFCD;
E;
F LEAD=100 OUT=OUT2;
I VAR = SPREAD OUTCOV=ACFSL;
E P=2 Q=(2) ML;
I VAR = SPREAD(1) OUTCOV=ACFSD;
I VAR=VOLUME OUTCOV=ACFVL;
I VAR=VOLUME(1) OUTCOV=ACFVD;
E Q=2 ML;
RUN;
DATA ALL;
MERGE OUT1 (RENAME=(FORECAST=FTREND L95=LTREND U95=UTREND ))
OUT2 (RENAME=(FORECAST=FUNIT L95=LUNIT U95=UUNIT ));
LINEAR = -71.43680 + .0053150*DATE;
IF DATE<14389 THEN DO; LUNIT=.; UUNIT=.; LTREND=.; UTREND=.;
END;
RUN;
DATA DFTEST;
SET NEXT;
LAGV = LAG(VOLUME);
DV = VOLUME-LAG(VOLUME);
LAGC = LAG(CLOSE);
DC = CLOSE-LAG(CLOSE);
LAGS = LAG(SPREAD);
DS = SPREAD-LAG(SPREAD);
OUTPUT;
RETAIN;
DV10=DV9; DV9=DV8; DV8=DV7; DV7=DV6; DV6=DV5; DV5=DV4; DV4=DV3;
DV3=DV2; DV2=DV1; DV1=DV;
DC10=DC9; DC9=DC8; DC8=DC7; DC7=DC6; DC6=DC5; DC5=DC4; DC4=DC3;
DC3=DC2; DC2=DC1; DC1=DC;
DS10=DS9; DS9=DS8; DS8=DS7; DS7=DS6; DS6=DS5; DS5=DS4; DS4=DS3;
DS3=DS2; DS2=DS1; DS1=DS;
RUN;
PROC REG;
MODEL DC = DATE LAGC / SS1;
*test DC1=0, DC2=0, DC3=0, DC4=0;
*test DC5=0, DC6=0, DC7=0, DC8=0, DC9=0, DC10=0;
MODEL DS = DATE LAGS DS1-DS2 / SS1;
*test DS3=0, DS4=0;
*test DS5=0, DS6=0, DS7=0, DS8=0, DS9=0, DS10=0;
MODEL DV = DATE LAGV DV1-DV2 / SS1;
*test DV3=0, DV4=0;
*test DV5=0, DV6=0, DV7=0, DV8=0, DV9=0, DV10=0;
RUN;
PROC ARIMA DATA=NEXT;
I VAR=CLOSE(1) CROSSCOR=(DATE) NOPRINT; E;
F LEAD=100 ID=DATE OUT=OUTCLOSED;
I VAR=CLOSE CROSSCOR=(DATE) NOPRINT; E P=1 INPUT=(DATE);
F LEAD=100 ID=DATE OUT=OUTCLOSEL;
I VAR=SPREAD CROSSCOR=DATE NOPRINT; E INPUT=(DATE) P=3;
I VAR=VOLUME CROSSCOR=(DATE) NOPRINT; E INPUT=(DATE) P=3;
RUN;
DATA LOGS;
MERGE OUTCLOSED(RENAME=(L95=L95D U95=U95D FORECAST = YD))
OUTCLOSEL(RENAME=(L95=L95L U95=U95L FORECAST = YL));
LINE = -68.07995 + .0050776*DATE;
IF CLOSE NE . THEN DO; L95L=.; U95L=.;L95D=.; U95D=.; END;
RUN;
DATA LEVELS;
SET LOGS;
LINE=EXP(LINE); L95D=EXP(L95D); L95L=EXP(L95L); U95D=EXP(U95D); U95L=EXP(U95L);
CLOSE=EXP(CLOSE); YD=EXP(YD); YL=EXP(YL);
RUN;
/* Use the DATA step below with the appropriate PROC statements in */
/* Chapter 3, "The General ARIMA Model," of SAS FOR */
/* FORECASTING TIME SERIES, SECOND EDITION, to produce Output 3.23-3.24. */
DATA WORKERS;
INPUT NONPUB @@;
TITLE 'PUBLISHING AND PRINTING NONPRODUCTION WORKERS';
TITLE2 '1944-1977';
RETAIN YEAR 1943;
YEAR+1;
CARDS;
33.5 34.0 33.5 32.5 33.2 34.1 34.0 34.3 34.6 35.0 35.5 35.4 35.1 35.2
35.5 35.3 35.4 35.5 36.6 36.7 36.6 36.4 36.9 37.4 37.7 38.5 39.1 39.7
40.6 42.4 43.2 43.4 43.7 43.5
;
RUN;
/*3.25*/
DATA A;
A=.8; B=.4; Y1=0; E1=0;
DO T=1 TO 1000;
E = NORMAL(1726555);
Y = A*Y1 + E -B*E1;
OUTPUT;
E1=E; Y1=Y;
END;
RUN;
/*3.26-3.27*/