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Introduction |

SAS/ETS software includes the following SAS procedures:

- ARIMA
- ARIMA (Box-Jenkins) and ARIMAX (Box-Tiao) modeling and forecasting
- AUTOREG
- regression analysis with autocorrelated or heteroscedastic errors
and ARCH and GARCH modeling
- CITIBASE
- access to DRI/McGraw-Hill Basic Economic database files
- COMPUTAB
- spreadsheet calculations and financial report generation
- DATASOURCE
- access to financial and economic databases
- EXPAND
- time series interpolation and frequency conversion,
and transformation of time series
- FORECAST
- automatic forecasting
- LOAN
- loan analysis and comparison
- MODEL
- nonlinear simultaneous equations regression and
nonlinear systems modeling and simulation
- MORTGAGE
- fixed-rate mortgage amortization
- PDLREG
- polynomial distributed lag regression (Almon lags)
- SIMLIN
- linear systems simulation
- SPECTRA
- spectral and cross spectral analysis
- STATESPACE
- state space modeling and
automated forecasting of multivariate time series
- SYSLIN
- linear simultaneous equations models
- TSCSREG
- time series cross-sectional regression analysis
- X11
- seasonal adjustment (Census X-11 and X-11 ARIMA)

SAS/ETS software also includes the following SAS macros:

- %AR
- generates statements to
define autoregressive error models for the MODEL procedure
- %BOXCOXAR
- investigates Box-Cox transformations useful for
modeling and forecasting a time series
- %DFPVALUE
- computes probabilities for Dickey-Fuller test statistics
- %DFTEST
- performs Dickey-Fuller tests for unit roots in a time series process
- %LOGTEST
- tests to see if a log transformation is appropriate for
modeling and forecasting a time series
- %MA
- generates statements to
define moving average error models for the MODEL procedure
- %PDL
- generates statements to define polynomial distributed lag models for the MODEL procedure

These macros are part of the SAS AUTOCALL facility
and are automatically available for use in your SAS program.
(Refer to *SAS Macro Language: Reference, First Edition*
for information about the SAS macro facility.)

The Time Series Forecasting System:

In addition to SAS procedures and macros, SAS/ETS software also includes an interactive forecasting user interface. This user interface was developed with SAS/AF software and uses PROC ARIMA to perform time series forecasting. The TSF system makes it easy to forecast time series and provides many features for graphical data exploration and graphical comparisons of forecasting models and forecasts. (SAS/GRAPH is required to use the graphical features of the system.)

Some of the features of SAS/ETS software are also available through menu driven interfaces provided by SAS/ASSIST software. (Both SAS/ASSIST software and SAS/ETS software must be licensed for you to use these features.)

The following components of SAS/ASSIST software enable you to use SAS/ETS procedures through a menu interface:

- loan analysis (uses PROC LOAN)
- regression with correction for autocorrelation (uses PROC AUTOREG)
- seasonal adjustment (uses PROC X11)
- convert frequency of time series data (uses PROC EXPAND)

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