SAS/Ets User's Guide 123. 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 | 1212 F Chapter 18 The MODEL Procedure y yhat ma lag The lag length is infinite and PROC MODEL prints an error message and stops. Since this kind of specification is allowed the recursion must be truncated at some point. The ZLAG and ZDIF functions do this. The following equation is valid and results in a lag length for the Y equation equal to the lag length of YHAT y yhat ma zlag Initially the lags of are missing and the ZLAG function replaces the missing residuals with 0s their unconditional expected values. The ZLAG0 function can be used to zero out the lag length of an expression. ZLAG0 x returns the current period value of the expression x if nonmissing or else returns 0 and prevents the lag length of x from contributing to the lag length of the current statement. Initializing Lags At the start of each pass through the data set or BY group the lag variables are set to missing values and an initialization is performed to fill the lags. During this phase observations are read from the data set and the model variables are given values from the data. If necessary the model is executed to assign values to program variables that are used in lagging functions. The results for variables used in lag functions are saved. These observations are not included in the estimation or solution. If during the execution of the program for the lag starting phase a lag function refers to lags that are missing the lag function returns missing. Execution errors that occur while starting the lags are not reported unless requested. The modeling system automatically determines whether the program needs to be executed during the lag starting phase. If L is the maximum lag length of any equation being fit or solved then the first L observations are used to prime the lags. If a BY statement is used the first L observations in the BY group are used to prime the lags. If a RANGE statement is used the first L observations prior to the first observation requested in the
