SAS/ETS^® Software Features

High-performance econometrics

• Procedures enabled for high performance in a single-server SMP environment:
  
  • HPCOUNTREG for high-performance count regression.
  • HPSEVERITY for high-performance loss distribution/severity.
  • HPQLIM for high-performance qualitative and limited independent variable models.
  • HPCDM for high-performance compound distribution modeling.
  • HPCOPULA for high-performance Copula simulation.
  • HPPANEL for high-performance panel data models.
• TMODEL (experimental) incorporates high-performance computing techniques and offers new features that enhance the functionality of PROC MODEL
  

Cross-sectional econometric methods

• Truncated regression (with Bayesian estimation options).
• Censored regression (with Bayesian estimation options).
• Bivariate probit.
• Bivariate tobit.
• Stochastic frontier production and cost models.
• Multivariate limited dependent models.
• Multivariate Bayesian econometric models.
• Regression with heteroscedastic and autocorrelated consistent standard errors.
• Sample selection and switching regression models.
• Logit/probit with heteroscedastic errors.
• Instrumental variables (2SLS, 3SLS, LIML, FIML, K-Class, MELO, GMM).
• Seemingly unrelated regression (SUR, ISUR).
• Multinomial/conditional logit.
• Heteroscedastic extreme value model.
• Mixed logit model.
• Multinomial probit model.
• Nested logit model.
• Simulation and prediction tools.
• Copula estimation and simulation.
• Loss/severity modeling with censoring/truncation and regression effects.
• Poisson (zero inflated Poisson) regression.
• Negative binomial (zero inflated negative binomial) regression.
• Qualitative and limited dependent variable models with endogenous explanatory variables.
• Spatial econometric models.

Time series analysis

• ARIMA (ARIMAX) models.
• Dynamic regression and transfer function models.
• X-12-ARIMA.
• Polynomial distributed lag models.
• Unobserved components models.
• Linear state space models.
• Vector autoregressive models.
• Vector error correction models.
• Bayesian vector autoregressive models.
• Vector autoregressive moving average models.
• Multivariate GARCH models.
• Exponential smoothing with optimized smoothing weights.
• GARCH models (IGARCH, EGARCH, QGARCH, TGARCH, PGARCH, GARCH-M).
• Spectral analysis.
• Time series data mining tools.
• Spectral and cross-spectral analysis.

Panel data econometrics

• Pooled and between estimators with robust standard errors.
• One- and two-way fixed effects regression with robust standard errors.
• One- and two-way random effects regression with robust standard errors.
• Autoregressive and moving average models.
• Dynamic panel GMM.
• Poisson (zero inflated Poisson) with fixed/random effects.
• Negative binomial (zero inflated negative binomial) with fixed/random effects.
• Linear state space panel data model.

Time series data tools

• Transactional accumulation.
• Seasonal adjustment.
• X-11, X-12 seasonal adjustment.
• Series imputation/extrapolation.
• Time series frequency manipulation.
• Time series differencing and transformations.

Data acquisition tools

• FAME, DRI, Standard & Poor's (COMPUSTAT), FactSet, Haver Analytics DLX and CRSP.
• Bureau of Economic Analysis, Bureau of Labor Statistics.
• Federal Reserve Economic Data (FRED).
• International Monetary Fund (IMF), Organization for Economic Cooperation and Development (OECD), and World Bank Group Open.
• Weather related databases: World Weather Online, NOAA Severe Weather Data Inventory (SWDI) web service.