时间序列ARIMA模型的SAS程序编写.doc

goptions vsize=7cm hsize=10cm;data b;format time monyy5.;input monyy7. asr;dif=dif(asr) ;keep time asr dif;cards;Jan199950Feb1999 54.5Mar199951Apr199949May199950Jun199952Jul199949Aug199949Sep199955Oct199958Nov199960Dec199967.6Jan200062Feb200058.4Mar200055Apr200052.7May200054.4Jun200055.9Jul200053.6Aug200053.4Sep200058.7Oct200062.8Nov200064.2Dec200073.9Jan200166.9Feb200161.7Mar200158.5Apr200156.3May200160.1Jun200160.3Jul200158Aug200158.5Sep200164.3Oct200168.5Nov200170.6Dec200179.2Jan200272.4Feb200267.3Mar200262.9Apr200260.7May200265.9Jun200265.8Jul200262.9Aug200263.6Sep200270.5Oct200276Nov200279Dec200285.1Jan200379.9Feb200373.5Mar200369.5Apr200364.8May200367.6Jun200373.4Jul200370.2Aug200371.6Sep200379.3Oct200385.5Nov200388.5Dec200398.4Jan200490.8Feb200481.8Mar200478.8Apr200475May200481Jun200483.9Jul200480.1Aug200481.1Sep200489.7Oct200498.7Nov2004101.7Dec2004116.3Jan2005103.7Feb200594.2Mar200589.1Apr200586.2May200591.9Jun200598.6Jul200592.2Aug200596.1Sep2005103.5Oct2005112.6Nov2005121.8Dec2005139.1Jan2006129.5Feb2006113Mar2006106.6Apr2006101.6May2006115.7Jun2006111.5Jul2006104.1Aug2006111.3Sep2006120.4Oct2006134.1Nov2006135.3Dec2006145.1Jan2007148.6Feb2007132.5Mar2007123.4Apr2007118.6May2007136.4Jun2007131.5Jul2007122.9Aug2007131.5Sep2007142.2Oct2007159.5Nov2007161.7Dec2007174.2Jan2008177.7Feb2008158.8Mar2008149.9Apr2008144.9May2008168.4Jun2008165.7Jul2008154.1Aug2008166Sep2008181.5Oct2008199.4Nov2008200.4Dec2008216Jan2009219.1Feb2009187.2Mar2009175.1Apr2009168.8May2009196.8Jun2009196.8Jul2009182.6Aug2009197.5Sep2009215.4Oct2009239.8Nov2009241.4Dec2009263.9;proc print;proc gplot;plot asr*time=1 dif*time=1;symbol1 c=red i=join v=square;proc arima;identify var=asr(1) stationarity=(adf) nlag=12;estimate q=1;forecast lead=10 id=time interval=year out=out;proc print data=out;proc gplot;where time=1jan1955d;plot asr*time=2 forecast*time=3 (l95 u95)*time=4/overlay;symbol2 c=black i=none v=star;symbol3 c=red i=join v=none;symbol4 c=green i=join v=none l=3 w=1;proc autoreg data=na_in;model asr=t/nlag=2 method=ml dwprob;output out=p p=a1 pm=a2 lcl=lcl ucl=ucl;proc gplot data=p;where time=1jan1955d;plot asr*time=2 a1*time=3 lcl*time=4 ucl*time=4/overlay;proc autoreg data=na_in;model asr=dif/LAGDEP=DIF nlag=1 method=ml noint;output out=p p=b1 pm