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标题: [求助]用SAS中的SYSLIN PROCEDURE做2SLS怎么对参数置信区间估计编程啊？？？ [打印本页]

作者: shiyiming 时间: 2008-12-14 19:11
标题: [求助]用SAS中的SYSLIN PROCEDURE做2SLS怎么对参数置信区间估计编程啊？？？
最近在自学SAS,觉得它真是比EVIEWS难多了

作者: shiyiming 时间: 2008-12-16 10:06
标题: Re: [求助]用SAS中的SYSLIN PROCEDURE做2SLS怎么对参数置信区间估计编程啊？？？
option 1 用PROC MODEL => the PRL= option of the FIT statement
[code:2onbp3q6]data klein;
input year c p w i x wp g t k wsum;
date=mdy(1,1,year);
format date monyy.;
y =c+i+g-t;
yr  =year-1931;
klag=lag(k);
plag=lag(p);
xlag=lag(x);
label year='YEAR                '
      date='DATE                '
      c ='CONSUMPTION          '
      p ='PROFITS             '
      w ='PRIVATE WAGE BILL    '
      i ='INVESTMENT          '
      k ='CAPITAL STOCK       '
      y ='NATIONAL INCOME    '
      x ='PRIVATE PRODUCTION '
      wsum='TOTAL WAGE BILL    '
      wp  ='GOVT WAGE BILL       '
      g ='GOVT DEMAND          '
      t ='TAXES                '
      klag='CAPITAL STOCK LAGGED  '
      plag='PROFITS LAGGED       '
      xlag='PRIVATE PRODUCT LAGGED'
      yr  ='YEAR-1931          ';
datalines;
1920    .  12.7    . .  44.9 .    .    .  182.8    .
1921  41.9  12.4  25.5 -0.2  45.6  2.7 3.9 7.7  182.6  28.2
1922  45.0  16.9  29.3  1.9  50.1  2.9 3.2 3.9  184.5  32.2
1923  49.2  18.4  34.1  5.2  57.2  2.9 2.8 4.7  189.7  37.0
1924  50.6  19.4  33.9  3.0  57.1  3.1 3.5 3.8  192.7  37.0
1925  52.6  20.1  35.4  5.1  61.0  3.2 3.3 5.5  197.8  38.6
1926  55.1  19.6  37.4  5.6  64.0  3.3 3.3 7.0  203.4  40.7
1927  56.2  19.8  37.9  4.2  64.4  3.6 4.0 6.7  207.6  41.5
1928  57.3  21.1  39.2  3.0  64.5  3.7 4.2 4.2  210.6  42.9
1929  57.8  21.7  41.3  5.1  67.0  4.0 4.1 4.0  215.7  45.3
1930  55.0  15.6  37.9  1.0  61.2  4.2 5.2 7.7  216.7  42.1
1931  50.9  11.4  34.5 -3.4  53.4  4.8 5.9 7.5  213.3  39.3
1932  45.6 7.0  29.0 -6.2  44.3  5.3 4.9 8.3  207.1  34.3
1933  46.5  11.2  28.5 -5.1  45.1  5.6 3.7 5.4  202.0  34.1
1934  48.7  12.3  30.6 -3.0  49.7  6.0 4.0 6.8  199.0  36.6
1935  51.3  14.0  33.2 -1.3  54.4  6.1 4.4 7.2  197.7  39.3
1936  57.7  17.6  36.8  2.1  62.7  7.4 2.9 8.3  199.8  44.2
1937  58.7  17.3  41.0  2.0  65.0  6.7 4.3 6.7  201.8  47.7
1938  57.5  15.3  38.2 -1.9  60.9  7.7 5.3 7.4  199.9  45.9
1939  61.6  19.0  41.6  1.3  69.5  7.8 6.6 8.9  201.2  49.4
1940  65.0  21.1  45.0  3.3  75.7  8.0 7.4 9.6  204.5  53.0
1941  69.7  23.5  53.3  4.9  88.4  8.5  13.8  11.6  209.4  61.8
;
run;
proc model data=klein;
   instruments klag plag xlag wp g t yr;
   c=c0 + c1*p + c2*plag + c3*wsum;
   i=i0 + i1*p + i2*plag + i3*klag;
   w=w0 + w1*x + w2*xlag + w3*yr;
fit c i w / 2sls PRL=BOTH;
title '2sls results';
run;
[/code:2onbp3q6]

option 2 PROC SYSLIN 之后手工算
[code:2onbp3q6]
proc syslin data=klein 2sls;
instruments plag xlag klag wp g t yr;
consume: model c=p plag wsum;
invest: model i=p plag klag;
wage: model w = x xlag yr;
run;
[/code:2onbp3q6]
得到第一个Intercept的估计为16.55476, 标准差为1.467979, 那么95% Wald confidence interval = 16.55476+/-1.96*1.467979。
您可以编程把这一步自动化。但是，“[color=#0000FF:2onbp3q6]何必呢，何苦呢?[/color:2onbp3q6]"

例子来源于[url:2onbp3q6]http://support.sas.com/rnd/app/examples/ets/h2sls/sas.htm[/url:2onbp3q6]

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