Econometrics & Time Series with SAS/ETS® Software

Integrated time series and econometric techniques for modeling, forecasting and simulating business processes

Features

Time Series Forecasting System

• Point-and-click interface for exploring and forecasting time series data.
• Automatically selects the best-fitting forecasting model for each time series.
• Provides mathematically optimized model parameters.
• Interactive model development facility for more experienced forecasters.
• Graphical display of time series diagnostics tests.
• Inclusion of regression variables and unusual events in the forecasting model.
• Diagnostic checks on fitted models.
• Option to statistically combine multiple forecasts.

Full range of forecasting and time series methods

• Trend extrapolation; exponential smoothing; Winters method (additive and multiplicative); ARIMA (Box-Jenkins).
• Structural time series models or unobserved components models.
• Dynamic regression or transfer function models.
• Joint forecasting of multiple time series using vector time series analysis and general state-space models.
• Automatic outlier and event detection.
• Time series decomposition and seasonal adjustment.
• Spectral and cross-spectral analysis for finding periodicities or cyclical patterns in your data.

Econometric analysis

• Regression with correction for autocorrelated errors.
• Fitting, analyzing and simulation of simultaneous systems of both linear and nonlinear regression models.
• Multinomial Discrete Choice analysis.
• What-if, Monte Carlo simulation.
• Time series cross-sectional analysis.
• Qualitative and limited dependent variable models.

Time series data management and preparation

• Convert time series from one sampling frequency to another.
• Interpolate missing values.
• Aggregate time-stamped transactional data into time series.
• More than 100 time series transformation operations.

Financial analysis

• Interactive analysis system for time-value-of-money analysis.

Access to virtually any database

• Commercial database vendors: FAME, DRI, Standard & Poor’s (COMPUSTAT), Haver Analytics and CRSP.
• US government data: Bureau of Economic Analysis, Bureau of Labor Statistics.
• International agency data: International Monetary Fund (IMF), organisation for Economic Cooperation and Development (OECD).

Download the complete SAS/ETS Software Fact Sheet.