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), Organization for Economic Cooperation and Development (OECD).
Download the complete SAS/ETS Software Fact Sheet.
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