Introduction
The SAS Language
SAS programs
SAS product
Brief history
Advantages of using SAS
A collection of SAS statements
Achieve multiple purposes of processing data
Highly portable
SAS statements
Industry leading
Most popular data format in
ARIMA Model for S&P 500
The ARIMA(p,d,q) Model
(1-L)da(L)Xt = b(L)et
Where a(L) is a p-th order polynomial in L and
b(L) is a q-th order polynomial in L, et is a
white noise, d denotes number of differencing
in order to achieve stationarity
Lab 12
Basic
Bad to Have a College in Town?
longitudinal data on rent in 64 cities for two years:
1980 and 1990
focus variable: pctstu, percentage of population
who are students
Different results
Lab 13
Panel Data Analysis
pctstu
y90
Lecture 12
OLS (time dummy)
0.0
Binary Choice Variables
The Model
To model outcome of NCAA basketball games
Outcome is a binary choice variable: win or
loss
Variable list: spread, favhome, fav25, und25
Methods: Linear Probability Model (LPM),
Probit Model, and Logit Model
Lab 11
Bi
Effect of Serial Correlation
The Model (The Phillips Curve)
Lab 9
inflation = a + b unemployment + e
We expect a negative b.
OLS Result
Effects of serial correlation
inflation = 1.4236 + 0.4676 unemployment
(0.4118) (0.1125)
R2 = 0.0527
Lecture 8
Effect
Do Positions Matter?
The Model
log(salary) = const + a1years + a2gamesyr + a3bavg
+ a4hrunsyr + a5runsyr + a6fldperc + a7allstar
+ dummies + e
Lab 6
How to add dummies
Results
Lecture 5
ECO 582
6 positions, so we can only add 5 dummy variables if we
wan
Inference in Linear Regression
Example
Sampling distribution of OLS estimators
under normality assumption
~ N (, 2 (XX ) 1 )
Testing hypothesis about one coefficient:
the t-test
t =
j
j j, 0
~ t n k 1
SE( )
j
k: no. of regressors other than the const
The Structure of Economic Data
Sources of Data
Types of Economic Data
Government: Bureau of Census, BLS, and
other government agencies
Commercial
Academic: PSID, Longitudinal Survey
Internet: time consuming
Last Resort: collect them by yourself
Cro
Course Information
Economics 482/582
Computational Econometrics
Lecture 1
ECO 482/582
1
Books
How to contact me?
Information on the Web
Lab Sessions
Final Lab and Test
TA
In case of a problem
Lecture 1
Object of the course
ECO 482/582
2
Review
Get first-
Methods of Getting Data into SAS
Internal datalines or cards
External raw data (usually in text file)
Reading Data Using Import Wizard
Example
Reading Excel file
Unformatted
Formatted
Existing SAS data files
SAS transport data files
External spec