BookmarkSubscribeRSS Feed
FeiGu
Calcite | Level 5

Hi,

Can someone help me verify that the following code generate a bivariate vector "z" that follows a VAR(2) structure? The first AR matrix is

0.6  0.0

0.0  0.6

and the second AR matrix is

0.18  0.00

0.00  0.18

This vector series also has a linear time trend with coefficient vector, g =

0.3

0.5

Thanks!

Fei

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

PROC IML;

mean_eta  = J(1,2,0);

sigma_eta = {1.0 0.5,

                    0.5 1.0};

eta       = randnormal(300,Mean_eta,Sigma_eta);

f    ={

0.6  0.0,

0.0  0.6};

g    = {0.3, 0.5};

t    = T(do(1,300,1));

z = J(300,2,0);

do i = 3 to 300;

  z[i,] = T( f*T(z[i-1,]) + 0.3#f*T(z[i-2,]) + g*t ) + eta[i,];

end;

Quit;

1 REPLY 1
udo_sas
SAS Employee

Hello -

This might give you some ideas:

Taken from http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_varmax_sect003...:

The following IML procedure statements simulate a bivariate vector time series from this model to provide test data for the VARMAX procedure:

   proc iml;
      sig = {1.0  0.5, 0.5 1.25};
      phi = {1.2 -0.5, 0.6 0.3};
      /* simulate the vector time series */
      call varmasim(y,phi) sigma = sig n = 100 seed = 34657;
      cn = {'y1' 'y2'};
      create simul1 from y[colname=cn];
      append from y;
   quit;

Thanks,

SAS INNOVATE 2024

Innovate_SAS_Blue.png

Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.

If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website. 

Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 1 reply
  • 711 views
  • 0 likes
  • 2 in conversation