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沙发
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发表于 2008-12-16 10:06:57
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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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