X13 Procedure
Example 45.7 MDLINFOIN= and MDLINFOOUT= Data Sets
(View the complete code for this example.)
This example illustrates the use of MDLINFOIN= and MDLINFOOUT= data sets. Using the data set shown, PROC X13 step identifies the model with outliers as displayed in Output 45.7.1. Output 45.7.2 shows the data set that represents the chosen model.
data b1;
input y @@;
datalines;
112 118 132 129
121 135 148 148
136 119 104 118
115 126 141 135
125 149 270 170
158 133 114 140
;
title 'Model Identification Output to MDLINFOOUT= Data Set';
proc x13 data=b1 start='1980q1' interval=qtr MdlInfoOut=mdl;
automdl;
outlier;
run ;
proc print data=mdl;
run;
Output 45.7.1: Displayed Model Identification with Outliers
| Model Identification Output to MDLINFOOUT= Data Set |
| Critical Values to use in Outlier Detection | |
|---|---|
| For Variable y | |
| Begin | 1980Q1 |
| End | 1985Q4 |
| Observations | 24 |
| Method | Add One |
| AO Critical Value | 3.419415 |
| LS Critical Value | 3.419415 |
| Final Automatic Model Selection | |||||||
|---|---|---|---|---|---|---|---|
| For Variable y | |||||||
| Source of Model | Orders Altered | Estimated Model | |||||
| Automatic Model Choice | No | ( 2, | 1, | 0) | ( 0, | 0, | 0) |
| Regression Model Parameter Estimates | ||||||
|---|---|---|---|---|---|---|
| For Variable y | ||||||
| Type | Parameter | NoEst | Estimate | Standard Error | t Value | Pr > |t| |
| Automatically Identified | AO 1984Q3 | Est | 102.36589 | 5.96584 | 17.16 | <.0001 |
| Exact ARMA Maximum Likelihood Estimation | |||||
|---|---|---|---|---|---|
| For Variable y | |||||
| Parameter | Lag | Estimate | Standard Error | t Value | Pr > |t| |
| Nonseasonal AR | 1 | 0.40892 | 0.20213 | 2.02 | 0.0554 |
| 2 | -0.53710 | 0.20975 | -2.56 | 0.0178 | |
Output 45.7.2: PROC X13 MDLINFOOUT= Data Set Model with Outlier Detection
| Model Identification Output to MDLINFOOUT= Data Set |
| Obs | _NAME_ | _MODELTYPE_ | _MODELPART_ | _COMPONENT_ | _PARMTYPE_ | _DSVAR_ | _VALUE_ | _FACTOR_ | _LAG_ | _SHIFT_ | _NOEST_ | _EST_ | _STDERR_ | _TVALUE_ | _PVALUE_ | _STATUS_ | _SCORE_ | _LABEL_ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | y | REG | EVENT | SCALE | AO | AO01JUL1984D | . | . | . | . | 0 | 102.366 | 5.96584 | 17.1587 | 0.000000 | . | ||
| 2 | y | ARIMA | FORECAST | NONSEASONAL | DIF | y | . | . | 1 | . | . | . | . | . | . | . | ||
| 3 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 1 | . | 0 | 0.409 | 0.20213 | 2.0231 | 0.055385 | . | ||
| 4 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 2 | . | 0 | -0.537 | 0.20975 | -2.5606 | 0.017830 | . |
Suppose that after examining the output from the preceding example, you decide that an Easter regressor should be added to the model. The following statements create a data set with the model identified above and adds a US Census Bureau Predefined Easter(25) regressor. The new model data set to be used as input in the MDLINFOIN= option is displayed in the data set shown in Output 45.7.3.
data pluseaster;
_NAME_ = 'y';
_MODELTYPE_ = 'REG';
_MODELPART_ = 'PREDEFINED';
_COMPONENT_ = 'SCALE';
_PARMTYPE_ = 'EASTER';
_DSVAR_ = 'EASTER';
_VALUE_ = 25;
run;
data mdlpluseaster;
set mdl;
run;
title 'Model with Easter(25) Regression Added';
proc append base=mdlpluseaster data=pluseaster force;
run;
proc print data=mdlpluseaster;
run;
Output 45.7.3: MDLINFOIN= Data Set Model with Easter(25) Regression Added
| Model with Easter(25) Regression Added |
| Obs | _NAME_ | _MODELTYPE_ | _MODELPART_ | _COMPONENT_ | _PARMTYPE_ | _DSVAR_ | _VALUE_ | _FACTOR_ | _LAG_ | _SHIFT_ | _NOEST_ | _EST_ | _STDERR_ | _TVALUE_ | _PVALUE_ | _STATUS_ | _SCORE_ | _LABEL_ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | y | REG | EVENT | SCALE | AO | AO01JUL1984D | . | . | . | . | 0 | 102.366 | 5.96584 | 17.1587 | 0.000000 | . | ||
| 2 | y | ARIMA | FORECAST | NONSEASONAL | DIF | y | . | . | 1 | . | . | . | . | . | . | . | ||
| 3 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 1 | . | 0 | 0.409 | 0.20213 | 2.0231 | 0.055385 | . | ||
| 4 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 2 | . | 0 | -0.537 | 0.20975 | -2.5606 | 0.017830 | . | ||
| 5 | y | REG | PREDEFINED | SCALE | EASTER | EASTER | 25 | . | . | . | . | . | . | . | . | . |
The following statements estimate the regression and ARIMA parameters by using the model described in the new data set mdlpluseaster. The results of estimating the new model are shown in Output 45.7.4.
proc x13 data=b1 start='1980q1' interval=qtr
MdlInfoIn=mdlpluseaster MdlInfoOut=mdl2;
estimate;
run;
Output 45.7.4: Estimate Model with Added Easter(25) Regression
| Model with Easter(25) Regression Added |
| Regression Model Parameter Estimates | ||||||
|---|---|---|---|---|---|---|
| For Variable y | ||||||
| Type | Parameter | NoEst | Estimate | Standard Error | t Value | Pr > |t| |
| Easter | Easter[25] | Est | 6.73250 | 4.73335 | 1.42 | 0.1696 |
| User Defined | AO01JUL1984D | Est | 105.83795 | 6.12689 | 17.27 | <.0001 |
| Exact ARMA Maximum Likelihood Estimation | |||||
|---|---|---|---|---|---|
| For Variable y | |||||
| Parameter | Lag | Estimate | Standard Error | t Value | Pr > |t| |
| Nonseasonal AR | 1 | 0.45233 | 0.20676 | 2.19 | 0.0401 |
| 2 | -0.54855 | 0.21583 | -2.54 | 0.0190 | |
The new model estimation results are displayed in the data set mdl2 shown in Output 45.7.5.
proc print data=mdl2;
run;
Output 45.7.5: MDLINFOOUT= Data Set, Estimation of Model with Easter(25) Regression Added
| Model with Easter(25) Regression Added |
| Obs | _NAME_ | _MODELTYPE_ | _MODELPART_ | _COMPONENT_ | _PARMTYPE_ | _DSVAR_ | _VALUE_ | _FACTOR_ | _LAG_ | _SHIFT_ | _NOEST_ | _EST_ | _STDERR_ | _TVALUE_ | _PVALUE_ | _STATUS_ | _SCORE_ | _LABEL_ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | y | REG | PREDEFINED | SCALE | EASTER | EASTER | 25 | . | . | . | 0 | 6.733 | 4.73335 | 1.4224 | 0.16961 | . | ||
| 2 | y | REG | EVENT | SCALE | AO | AO01JUL1984D | . | . | . | . | 0 | 105.838 | 6.12689 | 17.2743 | 0.00000 | . | ||
| 3 | y | ARIMA | FORECAST | NONSEASONAL | DIF | y | . | . | 1 | . | . | . | . | . | . | . | ||
| 4 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 1 | . | 0 | 0.452 | 0.20676 | 2.1877 | 0.04014 | . | ||
| 5 | y | ARIMA | FORECAST | NONSEASONAL | AR | y | . | 1 | 2 | . | 0 | -0.549 | 0.21583 | -2.5415 | 0.01899 | . |