/*SAS examples*/

/* Simulate white noise time series process with n=200*/

title "WN process";

data wn;

do i=1 to 200;

y=rannor(123);

if i>0 then output;

end;

run;

proc arima data=wn;

identify var=y nlag=15;

run;

/* Simulate MA(1) time series process with n=200*/

title "MA1 process";

data ma1;

etm1=rannor(123);

do i=-50 to 200;

et=rannor(123);

yt=et+.9*etm1;

if i>0 then output;

etm1=et;

end;

run;

proc arima data=ma1;

identify var=yt nlag=15;

run;

 

/* Simulate AR(1) time series process with n=200*/

title "AR1 process";

data ar1;

ytm1=rannor(123);

do i=-50 to 200;

et=rannor(123);

yt=0.9*ytm1+et;

if i>0 then output;

ytm1=yt;

end;

run;

proc arima data=ar1;

identify var=yt nlag=15;

run;