第三章：ARMA模型：课本例题

1. 例题3-1：课本54页

考察如下四个AR模型的平稳性：

SAS程序如下：

goptions vsize=6.8cm hsize=10cm;
data a;
x1_1=0;
x2_1=0;
x3_1=0;
x3_2=0;
x4_1=0;
x4_2=0;
do t=-100 to 100;
e=rannor(12345);
x1=0.8*x1_1+e;
x2=-1.1*x2_1+e;
x3=x3_1-0.5*x3_2+e;
x4=x4_1+0.5*x4_2+e;
x1_1=x1;
x2_1=x2;
x3_2=x3_1;
x4_2=x4_1;
x3_1=x3;
x4_1=x4;
if t>0 then output ;
end;
data a;
set a;
keep t x1 x2 x3 x4;
run;
proc gplot data=a;
plot x1*t=1;
plot x2*t=1;
plot x3*t=1;
plot x4*t=1;
symbol1 c=red i=join v=none;
run;

结果展示：

 

 2. 例题3.5：

考察如下四个平稳AR模型的自相关图：

SAS程序：

data a;
x1_1=0;
x2_1=0;
x3_1=0;
x3_2=0;
x4_1=0;
x4_2=0;
do t=-100 to 1000;
e=rannor(12345);
x1=0.8*x1_1+e;
x2=-0.8*x2_1+e;
x3=x3_1-0.5*x3_2+e;
x4=-x4_1-0.5*x4_2+e;
x1_1=x1;
x2_1=x2;
x3_2=x3_1;
x4_2=x4_1;
x3_1=x3;
x4_1=x4;
if t>0 then output ;
end;
data a;
set a;
keep t x1 x2 x3 x4;
run;
proc arima data=a;
identify var=x1 nlag=20 outcov=out1;
identify var=x2 nlag=20 outcov=out2;
identify var=x3 nlag=20 outcov=out3;
identify var=x4 nlag=20 outcov=out4;
run;
symbol c=red i=needle v=none;
proc gplot data=out1;
plot corr*lag ;
proc gplot data=out2;
plot corr*lag ;
proc gplot data&#