The SIMLIN Procedure

(View the complete code for this example.)

This example shows how to fit and simulate a single-equation dynamic model with third-order lags. It then shows how to convert the third-order equation into a three-equation system with only first-order lags, so that the SIMLIN procedure can compute multipliers. (For more information, see the section Multipliers for Higher-Order Lags.)

The input data set TEST is created from simulated data. A partial listing of the data set TEST produced by PROC PRINT is shown in Output 31.2.1.

The REG procedure processes the input data and writes the parameter estimates to the OUTEST= data set A.

title2 'Estimated Parameters';
proc reg data=test outest=a;
   model y=ylag3 x;
run;

title2 'Listing of OUTEST= Data Set';
proc print data=a;
run;

Output 31.2.2 shows the printed output produced by the REG procedure, and Output 31.2.3 displays the OUTEST= data set A that is produced.

The SIMLIN procedure processes the TEST data set using the estimates from PROC REG. The following statements perform the simulation and write the results to the OUT= data set OUT2:

title2 'Simulation of Equation';
proc simlin est=a data=test nored;
   endogenous y;
   exogenous  x;
   lagged ylag3 y 3;
   id n;
   output out=out1 predicted=yhat residual=yresid;
run;

The printed output from the SIMLIN procedure is shown in Output 31.2.4.

The following statements plot the actual and predicted values, as shown in Output 31.2.5:

title2 'Plots of Simulation Results';
proc sgplot data=out1;
   scatter x=n y=y;
   series x=n y=yhat / markers markerattrs=(symbol=plus);
run;

Output 31.2.5: Plot of Predicted and Actual Values

Next, the input data set TEST is modified by creating two new variables, YLAG1X and YLAG2X, that are equal to YLAG1 and YLAG2. These variables are used in the SYSLIN procedure. (The estimates produced by PROC SYSLIN are the same as before and are not shown.) A listing of the OUTEST= data set B created by PROC SYSLIN is shown in Output 31.2.6.

data test2;
   set test;
   ylag1x=ylag1;
   ylag2x=ylag2;
run;

title2 'Estimation of parameters and definition of identities';
proc syslin data=test2 outest=b;
   endogenous y ylag1x ylag2x;
   model y=ylag3 x;
   identity ylag1x=ylag1;
   identity ylag2x=ylag2;
run;

title2 'Listing of OUTEST= data set from PROC SYSLIN';
proc print data=b;
run;

The SIMLIN procedure is used to compute the reduced form and multipliers. The OUTEST= data set B from PROC SYSLIN is used as the EST= data set for the SIMLIN procedure. The following statements perform the multiplier analysis:

title2 'Simulation of transformed first-order equation system';

proc simlin est=b data=test2 total interim=2;
   endogenous y ylag1x ylag2x;
   exogenous  x;
   lagged  ylag1 y 1  ylag2 ylag1x 1  ylag3 ylag2x 1;
   id n;
   output out=out2 predicted=yhat residual=yresid;
run;

Output 31.2.7 shows the interim 2 and total multipliers printed by the SIMLIN procedure.