例5.12.sas

来自「第一章 时间序列分析简介 第二章 时间序列的预处理 第三章 平稳时间序列分析 第」· SAS 代码 · 共 52 行

data a;
input a@@;
laga=lag(a);
t=_n_;
cards;
143.1	140.3	139.4	140.7	139.6	140.4	141.2	140.9	141.3	141.7	142.8	144.7
144.4	140.9	139.5	140.8	138.7	139	140	140.4	141.6	142.3	143.4	145.7
145.7	142.8	141.8	143.5	141.8	142.4	142.8	142.7	144.3	145.7	147.6	150.5
150.2	146.9	146	148	145.8	146.2	146.4	145.8	146.9	148.4	150.2	153.3
153.6	150.1	149.3	151.5	149.3	151.4	151.3	150.9	152.5	154.4	156.7	159
159.4	155.4	154.6	156.8	154.2	155.5	157.1	157	159.4	161.3	163.1	166.4
166.9	161.9	161.5	164.2	160.3	162.2	163.5	162.8	165.6	168.2	169.9	174.4
175.6	170.3	170.4	174.1	169.6	171.7	171	170	172.7	173.4	174.6	178.6
178.4	173.4	174.6	176.6	174.1	177.4	179.1	179	181.7	183.9	185.7	190.3
189	184.9	185.4	189.3	186.5	190.2	191.9	191.4	193.9	196.3	199.6	204.8
205.9	199.3	199.8	203.6	199.4	202.3	203.3	201.5	203.2	205	207	211.4
212.9	204	205.5	210.1	206.2	208.9	210.1	210	212.8	214.4	216.7	222.2
222.6	216.6	218.6	223.7	221.1	225.2	227.5	225.9	227.7	229.1	231.2	236.9
237.5	231.4	234.2	239.5	234.7	238.8	241.8	241.3	244.5	247	250.5	258.9
259.4	251.2	251.6	257	253.6	259.3	261.1	258.6	259.5	261.4	265.6	273.3
271.8	264.1	266.5	271.6	266.3	271.5	273.5	271	272.6	274.8	278.8	285.2
281.8	273.3	276.4	281.4	278.1	286	288	286.3	287.8	288.5	293.5	299
296.8	289	291.4	299.9	295.1	299.4	302.3	301	302.5	307	309.7	318.6
317.7	309	312.2	322.7	315.6	321.7	326.3	324.3	327.7	332	335.4	344.1
343.4	332	334.9	347.5	342.4	349.4	353.9	351.7	357	359.4	362.9	372.5
367.8	356.4	360.8	376.2	367.1	376.7	383.3	381.9	385.6	387.7	389.8	398.6
390.7	380.9	382.4	387.1	377.8	387.6	394.8	398.5	404.9	411	416.1	419.8
416.5	405.7	412.5	431.3	418.6	423	427.9	426.1	427.3	429.8	435.2	447.2
448.7	432.6	435.8	451.3	441.1	446.5	449.6	450	456.4	466	474.5	486
483	474.2	482.9	498.7	494.1	503.7	510.7	508.5	511.5	517.4	522.1	533.4
530.4	517.6	524.2	539.2	530.8	541.4	543.3	539	542.5	542.1	549.6	564.5
561.1	551.9	558.3	575	569.4	585.2	592	594.8	602.2	605.5	615.1	633.5
626.8	613.1	624.6	647.2	645.7	663.5	674	679.1	685.2	692.8	709.5	740.6
737.5	717.1	723.5	752.5	739.9	744.4	746.8	745	745.2	753.7	756	765.9
764.7	745	752.1	778.3	763.8	778.8	785.6	781.3	780	780.8	787.1	803.2
793	772.3	775.2	791.3	767.2	773.8	781.7	777.4	778.5	784.5	791.4	811.9
802.4	788.3	796.2	818	797.3	810.8	812.9	814.5	818.9	817.6	826.1	844.3
833.2	823.4	835	852.9	841.9	857.8	861.9	864.2	867.3	875	893.4	916.8
918.1	916.5										
;
proc gplot;
plot a*T;
symbol v=none i=join c=black;
proc autoreg;
model a=laga/lagdep=laga nlag=2 garch=(p=1,q=1);
output out=out p=forecast ;
proc gplot;
plot a*t=1 forecast*t=2 /overlay;
symbol1 c=black v=star i=none h=0.1;
symbol2 c=red v=none i=join;
run;