可以给这段程序加些注释吗？

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刚开始学unit root test，然后接触sas程序，看不懂，不知道能不能麻烦给这段程序的每个过程加上些注释啊？希望可以稍微详细一点

尤其是%dftest(resdat_ols,uhat_ols,trend=0,outstat=results2);

这句，不知道是干嘛用的？

谢谢了~~

dm "out;clear;log;clear;";
data simples;
infile "f:\Teaching\ef5470\ef5470_2007\Sas_programs\lab1data.csv" firstobs=2 dlm=',';
input date $ gdp p m d;
run;
%dftest(simples, gdp,dif=(1),trend=0,outstat=results);
proc print data=results;
run;
proc reg data=simples outest=beta tableout ;
model gdp = p m d;
output out=resdat_ols residual=uhat_ols predicted=yhat_ols;
run;
%dftest(resdat_ols,uhat_ols,trend=0,outstat=results2);
proc print data=results2;
run;
data simples; set simples resdat_ols;
et=lag(uhat_ols);
dgdp=gdp-lag(gdp);
dp=p-lag(p);
dm=m-lag(m);
dd=d-lag(d);
run;
proc reg data=simples outest=beta tableout ;
model dgdp = et dp dm dd;
run;
proc arima data=simples;
identify var=dgdp
 nlag=30 ;
run;
estimate p=1 q=4
 nodf
 noconstant
 method=ml
 plot;
run;
forecast
 lead=10
 out=predict
 printall;
run;

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关键词：noconstant unit root Predicted teaching constant 程序 注释

补充一下，如果我现在数据集中有gdp p m d 四个变量，我想对每个变量的数据进行unit root test，确定是integrated to order 多少的，那么以上这段程序可以怎么修改下，完成这个步骤啊？谢谢！

dftest(var1, var2, var3, va4, var5) 是一个 macro, 共有5个变量

var1: input filename

var2: a variable

var3 and var4 are parameters, var5 is output filename.

%dftest() 调用这个macro.

data simples;
infile "f:\Teaching\ef5470\ef5470_2007\Sas_programs\lab1data.csv" firstobs=2 dlm=',';
input date $ gdp p m d;
run;   /* input the datafile ‘lab1data.csv’ to generate a dataset ‘Simples’ */

%dftest(simples, gdp,dif=(1),trend=0,outstat=results);  

/* call macro dftest, use ‘simples’ as input dataset, gdp as a variable, output results to the dataset ‘Results’ */

proc print data=results;
run;    /* look at the ‘results’ dataset */

proc reg data=simples outest=beta tableout ;
model gdp = p m d;  
output out=resdat_ols residual=uhat_ols predicted=yhat_ols;
run;  

/* call regression procedure, the model is gdp=a1*p + a2*m + a3*d + constant,

output results to three datasets: resdat_ols, uhat_ols, and yhat_ols. */

%dftest(resdat_ols,uhat_ols,trend=0,outstat=results2);

/* call macro dftest, use ‘resdat_ols’ as input dataset, uhat_ols as a variable, output results to the dataset ‘Results2’ */

proc print data=results2;
run;    /* look at the results2 */

data simples; set simples resdat_ols;
et=lag(uhat_ols);
dgdp=gdp-lag(gdp);
dp=p-lag(p);
dm=m-lag(m);
dd=d-lag(d);
run;

/* combining simples and resdat_ols to create a new dataset ‘simples’ with 5 calculated variables (et, dgdp, dp, dm, dd) */

proc reg data=simples outest=beta tableout ;
model dgdp = et dp dm dd;
run;   /* call regression procedure again */

/* below is call arima procedure for time series analysis */
proc arima data=simples;
identify var=dgdp
 nlag=30 ;
run;
estimate p=1 q=4
 nodf
 noconstant
 method=ml
 plot;
run;
forecast
 lead=10
 out=predict
 printall;
run;

/* hope it helps */

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[此贴子已经被作者于2008-12-29 12:01:18编辑过]

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