第五章_ARIMA建模上机过程

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

ARIMA建模：

example5_6.

dataa;

t=_n_;

time=intnx('year','1jan1952'd,_n_-1);

formattimeyear4.;

inputagric@@;

diff1=dif(agric);

cards;

100

101.6

103.3

111.5

116.5

120.1

120.3

100.6

83.6

84.7

88.7

98.9

111.9

122.9

131.9

134.2

131.6

132.2

139.8

142

140.5

153.1

159.2

162.3

159.1

155.1

161.2

171.5

168.4

180.4

201.6

218.7

247

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

261.4

273.2

279.4

;

procprint;

procgplot;

plotagric*time=1diff1*time;

symbol1c=redi=joinv=square;

procarimadata=a;

identifyvar=diff1nlag=36;

identifyvar=agric(1)nlag=36;

estimateq=1;

estimatep=1;

estimatep=1q=1;

forecastlead=10id=timeinterval=yearout=out;

procgplotdata=out;

plotagric*time=2forecast*time=3(l95u95)*time=4/overlay;

symbol2c=blacki=nonev=star;

symbol3c=redi=joinv=none;

symbol4c=greeni=joinv=nonel=3w=1;

run;

疏系数模型：

example5_8.

dataa;

inputyearx@@;

dif=dif(x);

cards;

1917183.1

1918183.9

1919163.1

1920179.5

1921181.4

1922173.4

1923167.6

1924177.4

1925171.7

1926170.1

1927163.7

1928151.9

1929145.4

1930145

1931138.9

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

1933

1934

1935

1936

1937

1938

1939

1940

1941

1942

1943

1944

1945

1946

1947

1948

1949

1950

1951

1952

1953

1954

1955

1956

1957

1958

1959

1960

1961

1962

1963

1964

1965

1966

1967

1968

1969

1970

1971

1972

1973

1974

1975125.7129.5129.6129.5132.2134.1132.1137.4148.1174.1174.7156.7143.3189.7212200.4201.8200.7215.6222.5231.5237.9244259.4268.8264.3264.5268.1264252.8240229.1204.8193.3179178.1181.1165.6159.8136.1126.3123.3118.5

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

;

procgplot;

plotx*yeardif*year;

symbolc=blacki=joinv=square;

procarima;

identifyvar=x(1)minicp=(0:5)q=(0:5);

estimatep=4;

estimatep=(1,4);

estimatep=(1,4)noint;

estimateq=5;

estimateq=(4,5);

estimateq=(4,5)noint;

estimateq=6;

run;

简单季节模型：

example5_9.

dataa;

inputx@@;

diff1=dif(x);

diff1_4=dif4(diff1);

time=intnx('quarter','1jan1962'd,_n_-1);

formattimeyear4.;

cards;

1.10.50.40.71.60.60.50.7

1.30.60.50.71.20.50.40.6

0.90.50.51.12.92.11.72.0

2.71.30.91.01.60.60.50.7

1.10.50.50.61.20.70.71.0

1.51.00.91.11.51.01.01.6

2.62.12.33.65.04.54.54.9

5.74.34.04.45.24.34.24.5

5.24.13.94.14.83.53.43.5

4.23.43.64.35.54.85.46.5

8.07.07.48.510.18.98.89.0

10.08.78.88.910.48.98.99.0

10.28.68.48.49.98.58.68.7

9.88.68.48.28.87.67.57.6

8.17.16.96.66.866.26.2

;

procgplot;

plotx*timediff1*timediff1_4*time;

symbolc=blacki=joinv=star;

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

procarimadata=a;

identifyvar=x(1)nlag=36;

identifyvar=x(1,4)nlag=36;

estimatep=4;

estimatep=(1,4)noint;

estimateq=5;

estimateq=(1,4,5)noint;

run;

乘积季节模型：

example5_10:

dataa;

inputx@@;

diff1=dif(x);

diff1_12=dif12(diff1);

diff1_12_12=dif12(dif1_12);

time=intnx('month','1jan1948'd,_n_-1);

formattimeyear4.;

cards;

44665059256149159260463558051055355462870862972482086510071025955889965878110310929788238279288387207566588386847797547946816586446225887206707466166466785525605785145415765225305644425204845384544044244324585565066337081013103111011061104810059871006107585410087779828947957997817767618398428118437538487568488288578389868478017398657679418467687097988318337988067719517991156133212761373132513261314134312251133107510231266123711801046101010101046985971103710269471097101810549789551067113210921019111012621174139115331479141113701486145113091316131912331113136312451205108410481131113812711244113912051030130013191198114711401216120012711254120312721073137514001322121410961198113211931163112011649661154130611231033940115110131105101196310408381012963888840880939868100195696689684311801103104497289711031056105512871231107692911051127988903845102099410361050977956818103110619649678671058987111912021097994840108612381264117112061303139314631601149515611404170517391667159915161625162918091831166516591457170716071616152215851657171717891814169814811330164615961496138613021524154716321668142114751396170617151586147715001648174518562067185621042061280927832748264226282714269927762795267325582394278427512521237222022469268628152831266125902383267027712628238122242556251226902726249325442232249423152217210021162319249124322470

时间序列分析,平稳时间序列建模,上机指导,SAS,ARMA,ARIMA,GARCH

219122412117237023922255207720472255223325392394234122312171248724492300238724742667279129042737284927232613295028252717259327032836293829753064309230632991

;

procgplot;

plotx*timediff1*timediff1_12*time;

symbolc=blacki=joinv=none;

procarimadata=a;

identifyvar=x(1)nlag=36;

identifyvar=x(1,12)nlag=36;

identifyvar=x(1,12,12)nlag=36;

run;