TSUNIMAR Call :: SAS/IML(R) 12.1 User's Guide

TSUNIMAR Call

CALL TSUNIMAR (arcoef, ev, nar, aic, data <*>, maxlag <*>, opt <*>, missing <*>, print ) ;

The TSUNIMAR subroutine determines the order of an AR process with the minimum AIC procedure and estimates the AR coefficients.

The input arguments to the TSUNIMAR subroutine are as follows:

data

specifies a $T \times 1$ (or $1 \times T$ ) data vector, where is the number of observations.

maxlag

specifies the maximum lag of the AR process. This value should be less than half the number of observations. The default is maxlag=10.

opt

specifies an options vector.

opt[1]: specifies the mean deletion option. The mean of the original data is deleted if opt[1]=. An intercept term is estimated if opt[1]=1. If opt[1]=0, the original input data are processed assuming that the mean value of the input data is 0. The default is opt[1]=0.
opt[2]: specifies the minimum AIC option. If opt[2]=0, the maximum lag AR process is estimated. The minimum AIC option, opt[2]=1, is the default.

missing

specifies the missing value option. By default, only the first contiguous observations with no missing values are used (missing=0). The missing=1 option ignores observations with missing values. If you specify the missing=2 option, the missing values are replaced with the sample mean.

print

specifies the print option. By default, printed output is suppressed (print=0). The print=1 option prints the final estimation result, while the print=2 option prints intermediate and final results.

The TSUNIMAR subroutine returns the following values.

arcoef: refers to an $\mbox{nar} \times 1$ AR coefficient vector if the intercept is not included. If opt[1]=1, the first element of the arcoef vector is an intercept estimate.
ev: refers to the error variance.
nar: refers to the selected AR order by minimum AIC procedure. If opt[2]=0, then nar = maximum lag.
aic: refers to the minimum AIC value.

The TSUNIMAR subroutine determines the order of the AR process by using the minimum AIC procedure and estimates the AR coefficients. All AR coefficient estimates up to maximum lag are printed if you specify the print option. See the section Least Squares and Householder Transformation for more information.