Simulating Error Distribution with Proc Copula

eemrun — Sun, 17 Sep 2017 21:55:07 GMT

Rookie here, I am trying to replicate the study in the following paper:

http://support.sas.com/resources/papers/proceedings16/SAS6364-2016.pdf

The process I followed is:

-Run Proc Varmax to model BVAR on log-ratio of (RealGDP, CPI and Unemployment Rate). Save residuals in a separate dataset.

-Call Proc Copula to find he joint distribution from the marginal distribution of the residuals.

-Once I get that, I use the simulated errors with the forecast means from Varmax to create macroeconomic scenarios.

I have the following issue. My residuals do not follow normal dist. I am not sure how to transform them. Proc Copula does not seem to work with the assumptions. Any idea how I can fix this? Your help is much appreciated

I am using the following code.

PROC COPULA DATA = error_dist;
	VAR Res_RGDP Res_UMP Res_CPI;
	FIT Normal  / 
		MARGINALS = uniform METHOD = MLE;
	SIMULATE / 
		NDRAWS = 1000   SEED = 1 
		MARGINALS = UNIFORM    
		OUTUNIFORM = simulated_errors;
RUN;

The Error_Dist has values like these:

Res_RGDP Res_UMP Res_CPI

0.0398668592 0.0262994594 0.010727359
-0.029316863 0.1554613968 0.0061404736
-0.050879246 0.0763711127 -0.00331784
0.0068502877 0.1468297946 0.0019326859
0.0650468136 -0.018832064 0.0044021124
-0.008798372 0.1423033571 0.0029771118

Re: Simulating Error Distribution with Proc Copula

Rick_SAS — Tue, 26 Sep 2017 18:36:40 GMT

I don't fully understand your example, but I question whether you want to be using MARGINALS=UNIFORM. Try using MARGINALS=EMPIRICAL as the option to the SIMULATE statement. That will use the empirical CDF as the basis for the simulation of the copula.

Re: Simulating Error Distribution with Proc Copula

eemrun — Tue, 10 Oct 2017 22:32:46 GMT

Thanks! That was the problem.

topic Re: Simulating Error Distribution with Proc Copula in SAS Forecasting and Econometrics

Simulating Error Distribution with Proc Copula

Re: Simulating Error Distribution with Proc Copula

Re: Simulating Error Distribution with Proc Copula