|Changes and Enhancements to SAS/ETS Software
in Versions 7 and 8
The MODEL Procedure
The MODEL procedure now allows you to model a nonconstant
error variance, permitting the specification of
ARCH- and GARCH-type regression models.
The following features have been added to the MODEL procedure for
version 8 :
NOOLS and NO2SLS options specify bipassing using OLS or 2SLS to
get initial parameter estimates for GMM, ITGMM, or FIML. This is
important for certian models that are poorly defined in OLS or 2SLS
or if good initial parameter values are already provided. Note that
for GMM, the V matrix is created using the initial values specified
and this may not be consistently estimated.
MSE. variables are now available for estimation and simulation.
There is a MSE. variable created for each dependent/endogenous
variable in the model. The MSE.y variable contains the value of
the mean square error for y at each iteration. These variables
are used to specify the lagged values for GARCH type models.
Quasi-random numbers can be used to drive Monte Carlo simulation.
Quasi-random numbers are specified using the QUASI= option on the
SOLVE command. Two Quasi-random number generators supported by the
MODEL procedure are the Sobol sequence
(QUASI=SOBOL) and the Faure sequence (QUASI=FAURE). The default
is QUASI=NONE which is the psuedo random number generator.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.