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SAS/ETS 9.22 User's Guide 24

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SAS/Ets 9.22 User's Guide 24. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 222 F Chapter 7 The ARIMA Procedure This is an example of a transfer function with one numerator factor. The numerator factors for a transfer function for an input series are like the MA part of the ARMA model for the noise series. Denominator Factors You can also use transfer functions with denominator factors. The denominator factors for a transfer function for an input series are like the AR part of the ARMA model for the noise series. Denominator factors introduce exponentially weighted infinite distributed lags into the transfer function. To specify transfer functions with denominator factors place the denominator factors after a slash in the INPUT option. For example the following statements estimate the PRICE effect as an infinite distributed lag model with exponentially declining weights proc arima data a identify var sales crosscorr price estimate input 1 price run The transfer function specified by these statements is as follows 0 1 - 1B Xt This transfer function also can be written in the following equivalent form o 1 E 1B J Xt i 1 This transfer function can be used with intervention inputs. When it is used with a pulse function input the result is an intervention effect that dies out gradually over time. When it is used with a step function input the result is an intervention effect that increases gradually to a limiting value. Rational Transfer Functions By combining various numerator and denominator factors in the INPUT option you can specify rational transfer functions of any complexity. To specify an input with a general rational transfer function of the form B B B k Xt use an INPUT option in the ESTIMATE statement of the form input k -lags S-lags x See the section Specifying Inputs and Transfer Functions on page 256 for more information. Forecasting with Input Variables F 223 Identifying Transfer Function Models The CROSSCORR option of the IDENTIFY statement prints sample cross-correlation functions that show the correlation between the response .