The MODEL Procedure
Functional Summary
The statements and options in the MODEL procedure are summarized in Table 24.1.
Table 24.1: Functional Summary
Description | Statement | Option |
|---|---|---|
Data Set Options | ||
Specifies the input data set for the variables | FIT, SOLVE | DATA= |
Specifies the input data set for parameters | FIT, SOLVE | ESTDATA= |
Specifies the method for handling missing values | FIT | MISSING= |
Specifies the input data set for parameters | MODEL | PARMSDATA= |
Requests that the procedure produce graphics via the Output Delivery System | MODEL | PLOTS= |
Specifies the output data set for residual, predicted, or actual values | FIT | OUT= |
Specifies the output data set for solution mode results | SOLVE | OUT= |
Writes the actual values to OUT= data set | FIT | OUTACTUAL |
Selects all output options | FIT | OUTALL |
Writes the covariance matrix of the estimates | FIT | OUTCOV |
Writes the parameter estimates to a data set | FIT | OUTEST= |
Writes the parameter estimates to a data set | MODEL | OUTPARMS= |
Writes the observations used to start the lags | SOLVE | OUTLAGS |
Writes the predicted values to the OUT= data set | FIT | OUTPREDICT |
Writes the residual values to the OUT= data set | FIT | OUTRESID |
Writes the covariance matrix of the equation errors to a data set | FIT | OUTS= |
Writes the S matrix used in the objective function definition to a data set | FIT | OUTSUSED= |
Writes the estimate of the variance matrix of the moment generating function | FIT | OUTV= |
Reads the covariance matrix of the equation errors | FIT, SOLVE | SDATA= |
Reads the covariance matrix for GMM and ITGMM | FIT | VDATA= |
Specifies the name of the time variable | FIT, SOLVE, MODEL | TIME= |
Selects the estimation type to read | FIT, SOLVE | TYPE= |
General ESTIMATE Statement Options | ||
Specifies the name of the data set in which the estimate of the functions of the parameters are to be written | ESTIMATE | OUTEST= |
Writes the covariance matrix of the functions of the parameters to the OUTEST= data set | ESTIMATE | OUTCOV |
Prints the covariance matrix of the functions of the parameters | ESTIMATE | COVB |
Prints the correlation matrix of the functions of the parameters | ESTIMATE | CORRB |
Printing Options for FIT Tasks | ||
Prints the modified Breusch-Pagan test for heteroscedasticity | FIT | BREUSCH |
Prints the Chow test for structural breaks | FIT | CHOW= |
Prints collinearity diagnostics | FIT | COLLIN |
Prints the correlation matrices | FIT | CORR |
Prints the correlation matrix of the parameters | FIT | CORRB |
Prints the correlation matrix of the residuals | FIT | CORRS |
Prints the covariance matrices | FIT | COV |
Prints the covariance matrix of the parameters | FIT | COVB |
Prints the covariance matrix of the residuals | FIT | COVS |
Prints Durbin-Watson d statistics | FIT | DW |
FIT | FSRSQ | |
Prints Godfrey’s tests for autocorrelated residuals for each equation | FIT | GODFREY |
Prints Hausman’s specification test | FIT | HAUSMAN |
Prints tests of normality of the model residuals | FIT | NORMAL |
Prints the predictive Chow test for structural breaks | FIT | PCHOW= |
Specifies all the printing options | FIT | PRINTALL |
Prints White’s test for heteroscedasticity | FIT | WHITE |
Options to Control FIT Iteration Output | ||
Prints the inverse of the crossproducts Jacobian matrix | FIT | I |
Prints a summary iteration listing | FIT | ITPRINT |
Prints a detailed iteration listing | FIT | ITDETAILS |
Prints the crossproduct Jacobian matrix | FIT | XPX |
Specifies all the iteration printing-control options | FIT | ITALL |
Options to Control the Minimization Process | ||
Specifies the convergence criteria | FIT | CONVERGE= |
Selects the Hessian approximation used for FIML | FIT | HESSIAN= |
Specifies the local truncation error bound for the integration | FIT, SOLVE, MODEL | LTEBOUND= |
Specifies the maximum number of iterations allowed | FIT | MAXITER= |
Specifies the maximum number of subiterations allowed | FIT | MAXSUBITER= |
Selects the iterative minimization method to use | FIT | METHOD= |
Specifies the smallest allowed time step to be used in the integration | FIT, SOLVE, MODEL | MINTIMESTEP= |
Modify the iterations for estimation methods that iterate the S matrix or the V matrix | FIT | NESTIT |
Specifies the smallest pivot value | MODEL, FIT, SOLVE | SINGULAR |
Specifies the number of minimization iterations to perform at each grid point | FIT | STARTITER= |
Specifies a weight variable | WEIGHT | |
Options to Read and Write Model Files | ||
Deletes a model from a model file | DELETEMODEL | MODNAME= |
Reads a model from one or more input model files | INCLUDE | MODEL= |
Suppresses the default output of the model file | MODEL, RESET | NOSTORE |
Specifies the name of an output model file | MODEL, RESET | OUTMODEL= |
Deletes the current model | RESET | PURGE |
Options to List or Analyze the Structure of the Model | ||
Identifies equations in a dependency analysis | EQGROUP | |
Identifies variables in a dependency analysis | VARGROUP | |
Prints a dependency analysis of a simulation model | SOLVE | ANALYZEDEP= |
Prints a dependency structure of a normal form model | MODEL | BLOCK |
Prints a graph of the dependency structure of a normal form model | MODEL | GRAPH |
Prints the model program and variable lists | MODEL | LIST |
Prints the derivative tables and compiled model program code | MODEL | LISTCODE |
Prints a dependency list | MODEL | LISTDEP |
Prints a table of derivatives | MODEL | LISTDER |
Prints a cross-reference of the variables | MODEL | XREF |
General Printing Control Options | ||
Expands parts of the printed output | FIT, SOLVE | DETAILS |
Prints a message for each statement as it is executed | FIT, SOLVE | FLOW |
Selects the maximum number of execution errors that can be printed | FIT, SOLVE | MAXERRORS= |
Requests a comprehensive memory usage summary | FIT, SOLVE, MODEL, RESET | MEMORYUSE |
Selects the number of decimal places shown in the printed output | FIT, SOLVE | NDEC= |
Suppresses the normal printed output | FIT, SOLVE | NOPRINT |
Turns off the NOPRINT option | RESET | |
Specifies all the noniteration printing options | FIT, SOLVE | PRINTALL |
Prints tables which summarize missing value calculations | FIT, SOLVE, MODEL | REPORTMISSINGS |
Prints the result of each operation as it is executed | FIT, SOLVE | TRACE |
Statements That Declare Variables | ||
Associates a name with a list of variables and constants | ARRAY | |
Declares a variable to have a fixed value | CONTROL | |
Declares a variable to be a dependent or endogenous variable | ENDOGENOUS | |
Declares a variable to be an independent or exogenous variable | EXOGENOUS | |
Specifies identifying variables | ID | |
Assigns a label to a variable | LABEL | |
Selects additional variables to be output | OUTVARS | |
Declares a variable to be a parameter | PARAMETERS | |
Forces a variable to hold its value from a previous observation | RETAIN | |
Declares a model variable | VAR | |
Declares an instrumental variable | INSTRUMENTS | |
Omits the default intercept term in the instruments list | INSTRUMENTS | NOINT |
General FIT Statement Options | ||
Omits parameters from the estimation | FIT | DROP= |
Associates a variable with an initial value as a parameter or a constant | FIT | INITIAL= |
Bypasses OLS to get initial parameter estimates for GMM, ITGMM, or FIML | FIT | NOOLS |
Bypasses 2SLS to get initial parameter estimates for GMM, ITGMM, or FIML | FIT | NO2SLS |
Specifies the parameters to estimate | FIT | PARMS= |
Requests confidence intervals on estimated parameters | FIT | PRL= |
Selects a grid search | FIT | START= |
Options to Control the Estimation Method Used | ||
Specifies nonlinear ordinary least squares | FIT | OLS |
Specifies iterated nonlinear ordinary least squares | FIT | ITOLS |
Specifies seemingly unrelated regression | FIT | SUR |
Specifies iterated seemingly unrelated regression | FIT | ITSUR |
Specifies two-stage least squares | FIT | 2SLS |
Specifies iterated two-stage least squares | FIT | IT2SLS |
Specifies three-stage least squares | FIT | 3SLS |
Specifies iterated three-stage least squares | FIT | IT3SLS |
Specifies full information maximum likelihood | FIT | FIML |
Specifies simulated method of moments | FIT | NDRAW |
Specifies number of draws for the V matrix | FIT | NDRAWV |
Specifies number of initial observations for SMM | FIT | NPREOBS |
Selects the variance-covariance estimator used for FIML | FIT | COVBEST= |
Specifies generalized method of moments | FIT | GMM |
Specifies the kernel for GMM and ITGMM | FIT | KERNEL= |
Specifies iterated generalized method of moments | FIT | ITGMM |
Specifies the type of generalized inverse used for the covariance matrix | FIT | GINV= |
Specifies the denominator for computing variances and covariances | FIT | VARDEF= |
Specifies adding the variance adjustment for SMM | FIT | ADJSMMV |
Specifies variance correction for heteroscedasticity | FIT | HCCME= |
Specifies GMM variance under arbitrary weighting matrix | FIT | GENGMMV |
Specifies GMM variance under optimal weighting matrix | FIT | NOGENGMMV |
Solution Mode Options | ||
Selects a subset of the model equations | SOLVE | SATISFY= |
Solves only for missing variables | SOLVE | FORECAST |
Solves for all solution variables | SOLVE | SIMULATE |
Solution Mode Options: Lag Processing | ||
Uses solved values in the lag functions | SOLVE | DYNAMIC |
Uses actual values in the lag functions | SOLVE | STATIC |
Produces successive forecasts to a fixed forecast horizon | SOLVE | NAHEAD= |
Selects the observation to start dynamic solutions | SOLVE | START= |
Solution Mode Options: Numerical Methods | ||
Specifies the maximum number of iterations allowed | SOLVE | MAXITER= |
Specifies the maximum number of subiterations allowed | SOLVE | MAXSUBITER= |
Specifies the convergence criteria | SOLVE | CONVERGE= |
Computes a simultaneous solution using a Jacobi-like iteration | SOLVE | JACOBI |
Computes a simultaneous solution using a Gauss-Seidel-like iteration | SOLVE | SEIDEL |
Computes a simultaneous solution using Newton’s method | SOLVE | NEWTON |
Computes a nonsimultaneous solution | SOLVE | SINGLE |
Monte Carlo Simulation Options | ||
Specifies quasi-random number generator | SOLVE | QUASI= |
Specifies pseudo-random number generator | SOLVE | PSUEDO= |
Repeats the solution multiple times | SOLVE | RANDOM= |
Initializes the pseudo-random number generator | SOLVE | SEED= |
Specifies copula options | SOLVE | COPULA= |
Solution Mode Printing Options | ||
Prints between data points integration values for the DERT. variables and the auxiliary variables | FIT, SOLVE, MODEL | INTGPRINT |
Prints the solution approximation and equation errors | SOLVE | ITPRINT |
Prints the solution values and residuals at each observation | SOLVE | SOLVEPRINT |
Prints various summary statistics | SOLVE | STATS |
Prints tables of Theil inequality coefficients | SOLVE | THEIL |
Specifies all printing control options | SOLVE | PRINTALL |
General TEST Statement Options | ||
Specifies that a Wald test be computed | TEST | WALD |
Specifies that a Lagrange multiplier test be computed | TEST | LM |
Specifies that a likelihood ratio test be computed | TEST | LR |
Request all three types of tests | TEST | ALL |
Specifies the name of an output SAS data set that contains the test results | TEST | OUT= |
Miscellaneous Statements | ||
Specifies the range of observations to be used | RANGE | |
Subsets the data set with BY variables | BY | |