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Index

A

A option

PROC SPECTRA statement

ABORT

ABS function

additive model

ARIMA model

ADDITIVE option

MONTHLY statement (X11)

QUARTERLY statement (X11)

additive Winters method

seasonal forecasting

additive-invertible region

smoothing weights

ADDWINTERS method

FORECAST procedure

adjacency graph

MODEL procedure

ADJMEAN option

PROC SPECTRA statement

adjustable rate mortgage

LOAN procedure

adjusted R squared

MODEL procedure

adjusted R-square

statistics of fit

ADJUSTFREQ= option

ARM statement (LOAN)

adjustments

add factors

forecasting models

specifying

AGGREGATE method

EXPAND procedure

aggregation of

time series data "Aggregating to Lower Frequency Series"

time series data "Specifying Observation Characteristics"

aggregation of time series

EXPAND procedure "Aggregating to Lower Frequency Series"

EXPAND procedure "Specifying Observation Characteristics"

Akaike information criterion

AIC

ARIMA procedure

AUTOREG procedure

used to select state space models

Akaike's information criterion

AIC

statistics of fit

ALIGN= option

FORECAST statement (ARIMA)

PROC ARIMA statement

PROC DATASOURCE statement "Alignment of SAS Dates"

PROC DATASOURCE statement "PROC DATASOURCE Statement"

PROC EXPAND statement "Alignment of SAS Dates"

PROC EXPAND statement "Frequency Conversion"

PROC EXPAND statement "PROC EXPAND Statement"

PROC FORECAST statement "Alignment of SAS Dates"

PROC FORECAST statement "PROC FORECAST Statement"

alignment of

dates

time intervals

alignment of dates

ALL option

COMPARE statement (LOAN)

MODEL statement (AUTOREG)

MODEL statement (PDLREG)

MODEL statement (SYSLIN)

PROC SYSLIN statement

TEST statement (MODEL)

Almon lag polynomials

MODEL Procedure

ALPHA= option

FORECAST statement (ARIMA)

IDENTIFY statement (ARIMA)

MODEL statement (SYSLIN)

PROC FORECAST statement

PROC SYSLIN statement

ALPHACLI= option

OUTPUT statement (AUTOREG)

OUTPUT statement (PDLREG)

ALPHACLM= option

OUTPUT statement (AUTOREG)

OUTPUT statement (PDLREG)

ALPHACSM= option

OUTPUT statement (AUTOREG)

alternatives to

DIF function

LAG function

ALTPARM option

ESTIMATE statement (ARIMA) "ESTIMATE Statement"

ESTIMATE statement (ARIMA) "Specifying Inputs and Transfer Functions"

ALTW option

PROC SPECTRA statement

Amemiya's prediction criterion

statistics of fit

Amemiya's R-square

statistics of fit

amortization schedule

LOAN procedure

AMOUNT= option

FIXED statement (LOAN)

AMOUNTPCT= option

FIXED statement (LOAN)

analyzing models

MODEL procedure

and goal seeking

ordinary differential equations (ODEs)

and state space models

stationarity

and tests for autocorrelation

lagged dependent variables

and the OUTPUT statement

output data sets

AR initial conditions

conditional least squares

Hildreth-Lu

maximum likelihood

unconditional least squares

Yule-Walker

%AR macro

AR= option

BOXCOXAR macro

DFTEST macro

ESTIMATE statement (ARIMA)

LOGTEST macro

PROC FORECAST statement

ARCH model

AUTOREG procedure

autoregressive conditional heteroscedasticity

ARCHTEST option

MODEL statement (AUTOREG)

ARCOS function

ARIMA model

additive model

ARIMA procedure

autoregressive integrated moving-average model "ARIMA Models"

autoregressive integrated moving-average model "Overview"

Box-Jenkins model

factored model

multiplicative model

notation for

seasonal model

simulating "ARIMA Process Specification Window"

simulating "Time Series Simulation Window"

subset model

ARIMA model specification

ARIMA models

forecasting models

specifying

ARIMA procedure

Akaike information criterion

ARIMA model

ARIMAX model "Input Variables and Regression with ARMA Errors"

ARIMAX model "Overview"

ARMA model

autocorrelations

autoregressive parameters

BY groups

conditional forecasts

confidence limits

correlation plots

cross-correlation function

data requirements

differencing "Differencing"

differencing "Prewhitening"

differencing "Specifying Inputs and Transfer Functions"

factored model

finite memory forecasts

forecasting "Forecasting Details"

forecasting "Specifying Series Periodicity"

Gauss-Marquardt method

ID variables

infinite memory forecasts

input series

interaction effects

intervention model "Example 7.4: An Intervention Model for Ozone Data"

intervention model "Input Variables and Regression with ARMA Errors"

intervention model "Intervention Models and Interrupted Time Series"

intervention model "Rational Transfer Functions and Distributed Lag Models"

inverse autocorrelation function

invertibility

log transformations

Marquardt method

Model Identification

moving-average parameters

naming model parameters

output data sets "OUT= Data Set"

output data sets "OUTCOV= Data Set"

output data sets "OUTEST= Data Set"

output data sets "OUTMODEL= Data Set"

output data sets "OUTSTAT= Data Set"

output table names

predicted values

prewhitening "Prewhitening"

prewhitening "Prewhitening"

printed output

rational transfer functions

regression model with ARMA errors "Input Variables and Regression with ARMA Errors"

regression model with ARMA errors "Input Variables and Regression with ARMA Errors"

residuals

Schwarz Bayesian criterion

seasonal model

stationarity

subset model

syntax

time intervals

transfer function model "Estimation Details"

transfer function model "Input Variables and Regression with ARMA Errors"

transfer function model "Rational Transfer Functions and Distributed Lag Models"

unconditional forecasts

ARIMA process specification

ARIMA statement

X11 procedure

ARIMAX model

ARIMA procedure "Input Variables and Regression with ARMA Errors"

ARIMA procedure "Overview"

ARIMAX models and

design matrix

ARM statement

LOAN procedure

ARMA model

ARIMA procedure

autoregressive moving-average model

MODEL procedure

notation for

ARMAX= option

PROC STATESPACE statement

ARSIN function

as time ID

observation numbers

ASCII option

PROC DATASOURCE statement

ASTART= option

PROC FORECAST statement

at annual rates

percent change calculations

AT= option

COMPARE statement (LOAN)

ATAN function

ATTRIBUTE statement

DATASOURCE procedure

attributes

DATASOURCE procedure

attributes of variables

DATASOURCE procedure

audit trail

augumented Dickey-Fuller tests

autocorrelation tests

Durbin-Watson test

Godfrey's test

autocorrelations

ARIMA procedure

multivariate

plotting

prediction errors

series

automatic forecasting

FORECAST procedure

STATESPACE procedure

automatic generation

forecasting models

automatic inclusion of

interventions

automatic model selection

criterion

options

automatic selection

forecasting models

AUTOREG procedure

Akaike information criterion

ARCH model

autoregressive error correction

BY groups

Cholesky root

Cochrane-Orcutt method

conditional variance

confidence limits

dual quasi-Newton method

Durbin h-test

Durbin t-test

Durbin-Watson test "Testing for Autocorrelation"

Durbin-Watson test "Testing for Autocorrelation"

EGARCH model

EGLS method

estimation methods

factored model

GARCH model

GARCH-M model

Gauss-Marquardt method

generalized Durbin-Watson tests

heteroscedasticity

Hildreth-Lu method

IGARCH model

Kalman filter

lagged dependent variables

maximum likelihood method

nonlinear least-squares

output data sets "OUT= Data Set"

output data sets "OUTEST= Data Set"

output table names

Prais-Winsten estimates

predicted values "OUTPUT Statement"

predicted values "Predicted Values"

predicted values "Predicted Values"

printed output

quasi-Newton method

random walk model

residuals

Schwarz Bayesian criterion

serial correlation correction

stepwise autoregression

structural predictions

subset model

Toeplitz matrix

trust region method

two-step full transform method

Yule-Walker equations

Yule-Walker estimates

autoregressive error correction

AUTOREG procedure

autoregressive models

FORECAST procedure

MODEL procedure

autoregressive parameters

ARIMA procedure

auxiliary data sets

DATASOURCE procedure

auxiliary equations

MODEL procedure

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