格兰杰因果关系检验的SAS实现_文穗

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格兰杰因果关系检验的SAS实现

(2012-07-15 11:49:19)

标签：

杂谈

分类：统计建模

%macro causal(data = , y = , drivers = , max_lags = );
***********************************************************;
* THIS SAS MACRO IS AN IMPLEMENTATION OF BI-VARIATE       *;
* GRANGER CAUSALITY TEST PROPOSED BY GRANGER (1969)       *;
* ======================================================= *;
* PAMAMETERS:                                             *;
*  DATA     : INPUT SAS DATA TABLE                        *;
*  Y        : A CONTINUOUS TIME SERIES RESPONSE VARIABLE  *;
*  DRIVERS  : A LIST OF TIME SERIES PREDICTORS            *;
*  MAX_LAGS : MAX # OF LAGS TO SEARCH FOR CAUSAL          *;
*             RELATIONSHIPS                               *;
* ======================================================= *;
* CONTACT:                                                *;
*  WENSUI.LIU@53.COM, LOSS FORECASTING & RISK MODELING    *;
***********************************************************;

options nocenter nonumber nodate mprint mlogic symbolgen orientation = landscape
        ls = 150 formchar = "|----|+|---+=|-/\<>*";

%macro granger(data = , dep = , indep = , nlag = );

%let lag_dep = ;
%let lag_indep = ;

data _tmp1;
  set &data (keep = &dep &indep);

  %do i = 1 %to &nlag;
  lag&i._&dep = lag&i.(&dep);
  lag&i._&indep = lag&i.(&indep);

  %let lag_dep = &lag_dep lag&i._&dep;
  %let lag_indep = &lag_indep lag&i._&indep;
  %end;
run;

proc corr data = _tmp1 noprint outp = _corr1(rename = (&dep = value) where = (_type_ = 'CORR')) nosimple;
  var &dep;
  with lag&nlag._&indep;
run;

proc corr data = _tmp1 noprint outp = _corr2(rename = (&dep = value) where = (_type_ = 'CORR')) nosimple;
  var &dep;
  with lag&nlag._&indep;
  partial lag&nlag._&dep;
run;

proc reg data = _tmp1 noprint;
  model &dep = &lag_dep;
  output out = _rest1 r = rest_e;
run;

proc reg data = _tmp1 noprint;
  model &dep = &lag_dep &lag_indep;
  output out = _full1 r = full_e;
run;

proc sql noprint;
  select sum(full_e * full_e) into :full_sse1 from _full1;

  select sum(rest_e * rest_e) into :rest_sse1 from _rest1;

  select count(*) into :n from _full1;

  select value into :cor1 from _corr1;

  select value into :cor2 from _corr2;
quit;

data _result;
  format dep $20. ind $20.;
  dep   = "&dep";
  ind   = "%upcase(&indep)";
  nlag = &nlag;

  corr1 = &cor1;
  corr2 = &cor2;

  f_test1  = ((&rest_sse1 - &full_sse1) / &nlag) / (&full_sse1 / (&n -  2 * &nlag - 1));
  p_ftest1 = 1 - probf(f_test1, &nlag, &n -  2 * &nlag - 1);

  chisq_test1 = (&n * (&rest_sse1 - &full_sse1)) / &full_sse1;
  p_chisq1    = 1 - probchi(chisq_test1, &nlag);

  format flag1 $3.;
  if max(p_ftest1, p_chisq1) < 0.01 then flag1 = "***";
  else if max(p_ftest1, p_chisq1) < 0.05 then flag1 = " **";
  else if max(p_ftest1, p_chisq1) < 0.1 then flag1 = "  *";
  else flag1 = "   ";
run;

%mend granger;

data _in1;
  set &data (keep = &y &drivers);
run;

%let var_loop = 1;

%do %while (%scan(&drivers, &var_loop) ne %str());

  %let driver = %scan(&drivers, &var_loop);

  %do lag_loop = 1 %to &max_lags;

    %granger(data = _in1, dep = &y, indep = &driver, nlag = &lag_loop);

    %if &var_loop = 1 & &lag_loop = 1 %then %do;
      data _final;
        set _result;
      run;
    %end;
    %else %do;
      data _final;
        set _final _result;
      run;
    %end;
  %end;

  %let var_loop = %eval(&var_loop + 1);
%end;

title;
proc report data  = _last_ box spacing = 1 split = "/" nowd;
  column("GRANGER CAUSALITY TEST FOR %UPCASE(&y) UPTO &MAX_LAGS LAGS"
         ind nlag corr1 corr2 f_test1 chisq_test1 flag1);

  define ind         / "DRIVERS"                width = 20 center group order order = data;
  define nlag        / "LAG"                    width = 3  format = 3.   center order order = data;
  define corr1       / "PEARSON/CORRELATION"    width = 12 format = 8.4  center;
  define corr2       / "PARTIAL/CORRELATION"    width = 12 format = 8.4  center;
  define f_test1     / "CAUSAL/F-STAT"          width = 12 format = 10.4 center;
  define chisq_test1 / "CAUSAL/CHISQ-STAT"      width = 12 format = 10.4 center;
  define flag1       / "CAUSAL/FLAG"            width = 8  right;
run;

%mend causal;

�usal(data = sashelp.citimon, y = RTRR, drivers = CCIUTC LHUR FSPCON, max_lags = 6);

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