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  1. #1
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    Par défaut Séries chronologiques : décomposition de Beveridge Nelson

    Bonjour tout le monde,

    Je voulais savoir si quelqu'un pouvait m'aider pour faire la décomposition de Beveridge Nelson.

    Merci

  2. #2
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    Par défaut

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    %MACRO BNelson(DATA=,OUT=,VAR=,DATE=,MAXPQ=,PAR=,QMA=,METHOD=,MAXITER=,
                   MCOEF=,MINMOD=,PRINT=,GRAPH=,CRAW=,CTREND=,CCYCLE=,DEBUG= );
     
     /************************************************************************/
     /* BNELSON: Cycle extraction with Beveridge-Nelson method.              */
     /************************************************************************/
     /* This macro implements the Beveridge-Nelson decomposition model of a  */
     /* time series into Trend and Cycle.                                    */
     /* The basic output is a SAS dataset with the series and its components.*/
     /* On request, you obtain some graphs.                                  */
     /*----------------------------------------------------------------------*/
     /* Author: Dominique LADIRAY (July 2001)                                */
     /************************************************************************/
     /* MACRO PARAMETERS                                                     */
     /************************************************************************/
     /*                                                                      */
     /* DATA    = SAS dataset containing the input time series. By default   */
     /*           the _LAST_ dataset is used.                                */
     /* OUT     = Output SAS dataset with the series and its components. By  */
     /*           default OUT=_result_. The components are named BN_Trendn   */
     /*           for the trend and BN_Cyclen for the cycle where n refers   */
     /*           to the ajusted ARIMA (p,1,q) model. In case several models */
     /*           are possible, a decomposition is done for each model (see  */
     /*           MAXPQ).                                                    */
     /* VAR     = The time series to be decomposed. It must be numeric.      */
     /* DATE    = This variable is used for the graphs and for the Ljung-Box */  
     /*           test for residuals. Therefore, it must be precised and     */
     /*           must be a SAS date variable (this point cannot be checked).*/
     /* MAXPQ   = You can ask for an automatic ajustment of the (p,1,q)      */
     /*           ARIMA model. The orders p and q will be determined with    */
     /*           the ESACF and SCAN method available in the ESTIMATE        */
     /*           statement of PROC ARIMA. MAXPQ precises the maximum value  */
     /*           of the orders p and q. If the parameters PAR or QMA and    */
     /*           MAXPQ are not specified, then an automatic modelling is    */
     /*           performed with MAXPQ=10.                                   */
     /* PAR     = In case you want to specify the (p,1,q) ARIMA model to be  */
     /*           ajusted, the parameter PAR= precises the order of the AR   */
     /*           part. PAR must be positive.                                */
     /* QMA     = In case you want to specify the (p,1,q) ARIMA model to be  */
     /*           ajusted, the parameter QMA= precises the order of the MA   */
     /*           part.                                                      */
     /*           PAR and QMA must be precised together otherwise an         */
     /*           automatic modelling is performed (see MAXPQ)               */
     /* METHOD  = The method to be used in the ARIMA estimation. Possible    */
     /*           values are CLS (the default), ULS and ML.                  */
     /* MAXITER = Maximum number of iteration in the estimation. By default  */
     /*           MAXITER=&maxiter.                                               */
     /* MCOEF   = The adjusted ARIMA model must be converted in a MA model.  */
     /*           MCOEF is the number of coefficients you require for the    */
     /*           MA model. By default MCOEF=100.                            */
     /* MINMOD  = The adjusted ARIMA model must be invertible. The roots of  */
     /*           the AR polynomial should be outside the unit circle.       */
     /*           MINMOD is the minimum value required for the modulus of    */
     /*           the roots. By default, MINMOD=0.98.                        */
     /* PRINT   = If YES, you get some printed output from the automatic     */
     /*           ARIMA modeling. By default PRINT=yes.                      */
     /* GRAPH   = If YES, you get some graphs of the components. By default, */
     /*           GRAPH=yes.                                                 */
     /* CRAW    = Color of the raw series. Default BLACK.                    */
     /* CTREND  = Color of the Trend. Default RED.                           */
     /* CCYCLE  = Color of the cycle. Default BLUE.                          */
     /*           For these last three options, use a valid SAS/Graph color. */
     /* DEBUG   = Debugging option                                           */
     /*                                                                      */
     /************************************************************************/
     /* REFERENCES :                                                         */
     /*  Beveridge S., Nelson C.R. (1981)                                    */
     /*  A New Approach to Decomposition of Economic Time Series into        */
     /*  Permanent and Transitory Components with Particular Attention to    */
     /*  Measurement of the 'Business Cycle'.                                */
     /*  Journal of Monetary Economics, 7, pages 151-174.                    */
     /************************************************************************/
     
     %IF (&debug NE) %THEN %DO;OPTIONS MPRINT NOTES;%END;
     
     /************************************************************************/
     /* SASNOM Macro, to check if a name is a valid SAS name                 */
     /************************************************************************/
     
     %MACRO sasnom(_IN_=,TYPE=);
      %GLOBAL _ret_;
      %LET _ret_=0;
      %IF &SYSVER < 7 %THEN %LET max=8;%ELSE %LET max=32;
      %LET TABLE=%UPCASE(%TRIM(&_in_));
      %IF (%UPCASE(&type) EQ DATASET) %THEN %DO;
       %LET INDEX=%INDEX(&TABLE,.);
       %IF (&INDEX GT 1) %THEN %DO;
        %LET lib=%SUBSTR(&TABLE,1,&index-1);
        %LET TABLE=%SUBSTR(&TABLE,&INDEX+1);
        %LET c1=%LENGTH(&lib);
        %LET c2=%VERIFY(%SUBSTR(&lib,1,1),'_ABCDEFGHIJKLMNOPQRSTUVWXYZ');
        %LET c3=%VERIFY(&lib,'_0123456789ABCDEFGHIJKLMNOPQRSTUVWXYZ');
        %IF ((&c1 > &max) OR (&c2 > 0) OR (&c3 > 0)) %THEN %LET _ret_=1;
       %END;
      %END;
      %LET c1=%LENGTH(&TABLE);
      %LET c2=%VERIFY(%SUBSTR(&TABLE,1,1),'_ABCDEFGHIJKLMNOPQRSTUVWXYZ');
      %LET c3=%VERIFY(&TABLE,'_0123456789ABCDEFGHIJKLMNOPQRSTUVWXYZ');
      %IF ((&c1 > &max) OR (&c2 > 0) OR (&c3 > 0)) %THEN %LET _ret_=1;
     %MEND;
     
     /************************************************************************/
     /* Reading and checking of parameters                                   */
     /************************************************************************/
     
     /* Checking parameter data                                              */
     /************************************************************************/
     
     %IF (%LENGTH(&DATA ) EQ 0) %THEN %LET DATA = _last_ ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&DATA ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the DATA  (&DATA ) parameter;
       %GOTO finmacro;
      %END;
      DATA _NULL_;
       SET &DATA (OBS=1);
      RUN;
      %IF (&syserr NE 0) %THEN %DO;
       %PUT ERROR: There IS a problem IN the DATA  (&DATA ) parameter;
       %PUT ERROR: Non valid SAS dataset? Non valid SAS name? ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter out                                               */
     /************************************************************************/
     
     %IF (%LENGTH(&out ) EQ 0) %THEN %LET out = _result_ ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&out ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the out  (&out ) parameter;
       %GOTO finmacro;
      %END;
      %sasnom(_IN_=&out ,TYPE=DATASET);
      %IF (&_ret_ NE 0) %THEN %DO;
       %PUT ERROR: The out  (&out ) parameter must be a valid SAS dataset name;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter var                                               */
     /************************************************************************/
     
     %IF (%LENGTH(&var ) EQ 0) %THEN %DO;
      %PUT ERROR: The var parameter must be precised;
      %GOTO finmacro;
     %END;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&var ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the var  (&var ) parameter;
       %GOTO finmacro;
      %END;
      DATA _NULL_;
       SET &DATA (KEEP=&var  OBS=1);
       ARRAY _xx_(*) &var ;
      RUN;
      %IF (&syserr NE 0) %THEN %DO;
       %PUT ERROR: There IS a problem IN the var  (&var ) parameter;
       %PUT ERROR: Non valid SAS dataset? Non valid SAS name? Wrong variable type? Non valid SAS list?;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter date                                              */
     /************************************************************************/
     
     %IF (%LENGTH(&date ) EQ 0) %THEN %DO;
      %PUT ERROR: The date parameter must be precised;
      %GOTO finmacro;
     %END;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&date ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the date  (&date ) parameter;
       %GOTO finmacro;
      %END;
      DATA _NULL_;
       SET &DATA (KEEP=&date  OBS=1);
       ARRAY _xx_(*) &date ;
      RUN;
      %IF (&syserr NE 0) %THEN %DO;
       %PUT ERROR: There IS a problem IN the date  (&date ) parameter;
       %PUT ERROR: Non valid SAS dataset? Non valid SAS name? Wrong variable type? Non valid SAS list?;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter maxpq                                             */
     /************************************************************************/
     
     %IF (%LENGTH(&maxpq ) EQ 0) %THEN %LET maxpq = 10 ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&maxpq ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the maxpq  (&maxpq ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&maxpq ) EQ CHAR) %THEN %DO;
       %PUT ERROR: The maxpq  (&maxpq ) parameter must be numeric;
       %GOTO finmacro;
      %END;
      %ELSE %IF (&maxpq LE 0 ) %THEN %DO;
       %PUT ERROR: You must have &maxpq  > 0 ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter mcoef                                             */
     /************************************************************************/
     
     %IF (%LENGTH(&mcoef ) EQ 0) %THEN %LET mcoef = 100 ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&mcoef ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the mcoef  (&mcoef ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&mcoef ) EQ CHAR) %THEN %DO;
       %PUT ERROR: The mcoef  (&mcoef ) parameter must be numeric;
       %GOTO finmacro;
      %END;
      %ELSE %IF (&mcoef LE 0 ) %THEN %DO;
       %PUT ERROR: You must have mcoef  > 0 ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter par                                               */
     /************************************************************************/
     
     %IF (%LENGTH(&par ) NE 0) %THEN %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&par ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the par  (&par ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&par ) EQ CHAR) %THEN %DO;
       %PUT ERROR: The par  (&par ) parameter must be numeric;
       %GOTO finmacro;
      %END;
      %ELSE %IF (&par LT 0 ) %THEN %DO;
       %PUT ERROR: You must have par  >= 0 ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter qma                                               */
     /************************************************************************/
     
     %IF (%LENGTH(&qma) NE 0) %THEN %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&qma ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the qma  (&qma ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&qma ) EQ CHAR) %THEN %DO;
       %PUT ERROR: The qma  (&qma ) parameter must be numeric;
       %GOTO finmacro;
      %END;
      %ELSE %IF (&qma LT 0 ) %THEN %DO;
       %PUT ERROR: You must have qma  >= 0 ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter method                                            */
     /************************************************************************/
     
     %IF (%LENGTH(&method ) EQ 0) %THEN %LET method = CLS;
     %ELSE %DO;
      %LET method=%UPCASE(&method);
      %IF (%LENGTH(%QSCAN(%BQUOTE(&method ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the method  (&method ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&method ) EQ NUM) %THEN %DO;
       %PUT ERROR: The method  (&method ) parameter must be character;
       %GOTO finmacro;
      %END;
      %ELSE %IF ((&method NE CLS) AND (&method NE ULS) AND (&method NE ML)) %THEN %DO;
       %PUT ERROR: The method  (&method ) parameter must be choosen among (CLS ULS ML);
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter maxiter                                           */
     /************************************************************************/
     
     %IF (%LENGTH(&maxiter ) EQ 0) %THEN %LET maxiter = 100 ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&maxiter ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the maxiter  (&maxiter ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&maxiter ) EQ CHAR) %THEN %DO;
       %PUT ERROR: The maxiter  (&maxiter ) parameter must be numeric;
       %GOTO finmacro;
      %END;
      %ELSE %IF (&maxiter LE 0 ) %THEN %DO;
       %PUT ERROR: You must have maxiter  > 0 ;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter print                                             */
     /************************************************************************/
     
     %IF (%LENGTH(&print ) EQ 0) %THEN %LET print = YES ;
     %ELSE %DO;
      %LET print=%UPCASE(&print);
      %IF (%LENGTH(%QSCAN(%BQUOTE(&print ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the print (&print) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&print ) EQ NUM) %THEN %DO;
       %PUT ERROR: The print (&print) parameter must be character;
       %GOTO finmacro;
      %END;
      %ELSE %IF ((&print NE YES) AND (&print NE NO)) %THEN %DO;
       %PUT ERROR: The print (&print) parameter must be choosen among (YES NO);
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter graph                                             */
     /************************************************************************/
     
     %IF (%LENGTH(&graph ) EQ 0) %THEN %LET graph = YES ;
     %ELSE %DO;
      %LET graph=%UPCASE(&graph);
      %IF (%LENGTH(%QSCAN(%BQUOTE(&graph ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the graph (&graph) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&graph ) EQ NUM) %THEN %DO;
       %PUT ERROR: The graph (&graph) parameter must be character;
       %GOTO finmacro;
      %END;
      %ELSE %IF ((&graph NE YES) AND (&graph NE NO)) %THEN %DO;
       %PUT ERROR: The graph (&graph) parameter must be choosen among (YES NO);
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter craw                                              */
     /************************************************************************/
     
     %IF (%LENGTH(&craw ) EQ 0) %THEN %LET craw = black ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&craw ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the craw  (&craw ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&craw ) EQ NUM) %THEN %DO;
       %PUT ERROR: The craw  (&craw ) parameter must be character;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter ctrend                                            */
     /************************************************************************/
     
     %IF (%LENGTH(&ctrend ) EQ 0) %THEN %LET ctrend = red ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&ctrend ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the ctrend  (&ctrend ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&ctrend ) EQ NUM) %THEN %DO;
       %PUT ERROR: The ctrend  (&ctrend ) parameter must be character;
       %GOTO finmacro;
      %END;
     %END;
     
     /* Checking parameter ccycle                                            */
     /************************************************************************/
     
     %IF (%LENGTH(&ccycle ) EQ 0) %THEN %LET ccycle = blue ;
     %ELSE %DO;
      %IF (%LENGTH(%QSCAN(%BQUOTE(&ccycle ),2,%STR( ))) NE 0) %THEN %DO;
       %PUT ERROR: You must precise just one value FOR the ccycle  (&ccycle ) parameter;
       %GOTO finmacro;
      %END;
      %IF (%DATATYP(&ccycle ) EQ NUM) %THEN %DO;
       %PUT ERROR: The ccycle  (&ccycle ) parameter must be character;
       %GOTO finmacro;
      %END;
     %END;
     
     /************************************************************************/
     /* Some other controls                                                  */
     /************************************************************************/
     
     %LET erreur=0;
     DATA _NULL_;
      IF (INT(&mcoef ) ^= &mcoef ) THEN CALL SYMPUT('erreur','1');
      IF (INT(&maxpq ) ^= &maxpq ) THEN CALL SYMPUT('erreur','1');
      IF (INT(&maxiter ) ^= &maxiter ) THEN CALL SYMPUT('erreur','1');
      %IF (&par NE) %THEN %DO;
       IF (INT(&par ) ^= &par ) THEN CALL SYMPUT('erreur','1');
      %END;
      %IF (&qma NE) %THEN %DO;
       IF (INT(&qma ) ^= &qma ) THEN CALL SYMPUT('erreur','1');
      %END;
     RUN;
     %IF (&erreur EQ 1) %THEN %DO;
      %PUT ERROR: the parameters mcoef, par, qma AND maxpq must be integer.
      %GOTO finmacro;
     %END;
     
     /************************************************************************/
     /* Controls end, Macro begins                                           */
     /************************************************************************/
     
     %IF (%UPCASE(&print) NE YES) 
       %THEN %LET print=noprint;
       %ELSE %LET print=;
     
     /* We check for missing values and compute the series periodicity.      */
     /************************************************************************/
     
     PROC FORMAT;
      VALUE njm
        25-35=12    50-70=6   80-100=4   115-135=3   175-195=2;
     RUN;
     
     %LET _miss_=0;
     DATA _trav_;
      SET &DATA END=fin;
      KEEP &date &var;
      RETAIN dtmin dtmax;
      IF (&var ^=.) THEN DO;
       ndon+1;
       dtmax=&date;
       IF (ndon=1) THEN dtmin=&date;
      END;
      IF ((&var ^= .) AND (LAG(&var) =.) AND (ndon > 1)) THEN CALL SYMPUT('_miss_','1');
      IF fin THEN DO;
       period=PUT((dtmax-dtmin)/ndon,njm.);
       CALL SYMPUT('period',period);
      END;
      IF (&var ^=.);
     RUN;
     %IF (&period EQ ) %THEN %DO;
      %PUT ERROR: Problem WITH the automatic determination of the series periodicity. CHECK your SAS date variable;
      %GOTO finmacro;
     %END;
     %IF (&_miss_ EQ 1) %THEN %DO;
      %PUT ERROR: Missing VALUES IN series &var;
      %GOTO finmacro;
     %END;
     
     /* Non automatic ARIMA modeling of the series.                          */
     /************************************************************************/
     
     %IF ((&par NE) AND (&qma NE)) %THEN %DO;
      DATA _bic_;
       Model=1;
       ar=&par;
       ma=&qma;
      RUN;
      %LET _nmod=1;
      %LET _maxar=&par;
      %LET _maxma=&qma;
      %LET _ar1=&par;
      %LET _ma1=&qma;
      PROC ARIMA DATA=_trav_;
       ODS SELECT NONE;
       ODS OUTPUT ChiSqAuto=ChiSq ParameterEstimates=ParEst;
       IDENTIFY VAR=&var(1);
       ESTIMATE P=&par Q=&qma METHOD=&method MAXITER=&maxiter;
       FORECAST ID=&date OUT=_arima_(KEEP=&date &var residual RENAME=(residual=Resid1)) LEAD=0;
      QUIT;
      ODS SELECT ALL;
     %END;
     
     /* Automatic ARIMA modeling of the series.                              */
     /************************************************************************/
     
     %ELSE %DO;
      PROC ARIMA DATA=_trav_;
       ODS SELECT NONE;
       ODS OUTPUT TentativeOrders=_bic_ ;
       IDENTIFY VAR=&var(1) P=&maxpq Q=&maxpq ESACF SCAN;
       RUN;
      QUIT;
      ODS SELECT ALL;
      %LET _ar=0;
      %LET _ma=0;
      DATA _bic_;
       SET _bic_(KEEP=scan_AR scan_MA RENAME=(scan_AR=ar scan_MA=ma))
           _bic_(KEEP=esacf_AR esacf_MA RENAME=(esacf_AR=ar esacf_MA=ma));
       KEEP ar ma sum;
       IF ar > 0;
       sum=ar+ma;
      RUN;
      PROC SORT DATA=_bic_ OUT=_bic_ NODUP;
       BY sum ma ar;
      RUN;
      %LET _nmod=0;
      DATA _bic_;
       LENGTH Model 8;
       RETAIN maxar maxma 0;
       SET _bic_;
       KEEP Model ar ma;
       model+1;
       maxar=MAX(ar,maxar);
       maxma=MAX(ma,maxma);
       CALL SYMPUT('_ar'||LEFT(PUT(model,3.)),LEFT(PUT(ar,2.)));
       CALL SYMPUT('_ma'||LEFT(PUT(model,3.)),LEFT(PUT(ma,2.)));
       CALL SYMPUT('_nmod',LEFT(PUT(model,3.)));
       CALL SYMPUT('_maxar',LEFT(PUT(maxar,3.)));
       CALL SYMPUT('_maxma',LEFT(PUT(maxma,3.)));
      RUN;
      %IF (&_nmod EQ 0) %THEN %DO;
       %PUT ERROR: No automatic model has been proposed BY ESACF AND SCAN options;
       %GOTO finmacro;
      %END;
     
      PROC ARIMA DATA=_trav_;
       ODS SELECT NONE;
       ODS OUTPUT ChiSqAuto=ChiSq ParameterEstimates=ParEst;
       IDENTIFY VAR=&var(1);
       %DO i=1 %TO &_nmod;
        ESTIMATE P=&&_ar&i Q=&&_ma&i METHOD=&method MAXITER=&maxiter;
    	FORECAST ID=&date OUT=for&i(KEEP=&date &var residual) LEAD=0;
       %END;
       RUN;
      QUIT;
      ODS SELECT ALL;
      DATA _arima_;
       MERGE
       %DO k=1 %TO &_nmod;
        for&k(RENAME=(residual=Resid&k))
       %END;
       ;
       BY &date;
       LABEL 
       %DO k=1 %TO &_nmod;
         resid&k=' ' forecast&k=' '
       %END;
       ;
      RUN;
     %END;
     
     /* We check now the validity of the ARIMA models.                       */
     /************************************************************************/
     
     DATA ParEst;
      SET ParEst;
      RETAIN model 0;
      IF Parameter=:'MU' THEN model=model+1;
      Parameter=SUBSTR(Parameter,1,2)||LEFT(PUT(Lag,3.));
     RUN;
     PROC TRANSPOSE DATA=ParEst(KEEP=Estimate Parameter Model) OUT=ParEst;
      BY model;
      ID Parameter;
     RUN;
     DATA ChiSq;
      LENGTH Lag $ 8;
      SET ChiSq;
      KEEP Lag ProbChiSq Model ToLags;
      RETAIN Model -1 n;
      IF (ToLags=6) THEN DO;
       model=model+1;
       n=0;
      END;
      LAG='PLjung';
      IF model > 0;
      IF df;
      IF (((&period=12) AND (ToLags=12)) OR ((&period^=12) AND (ToLags=6))
          OR ((n=0) AND (ToLags > &period))) 
       THEN DO;
        OUTPUT; 
        n=1;
      END;
     RUN;
     PROC TRANSPOSE DATA=ChiSq OUT=ChiSq;
      BY model;
      ID Lag;
      COPY ToLags;
     RUN;
     DATA ChiSq;
      SET ChiSq;
      LjungBox= (PLjung > 0.05); 
     RUN;
     
     %LET _selmod=0;
     DATA _bic_;
      RETAIN n 0;
      LENGTH Model 8 Arima $ 10;
      MERGE _bic_ ParEst ChiSq;
      DROP _NAME_ _LABEL_ n;
      BY Model;
      LABEL ar=' ' ma=' ';
      Arima=COMPRESS('('||PUT(ar,3.)||',1,'||PUT(ma,3.)||')');
      IF (LjungBox) THEN DO;
       IF (n=0) THEN CALL SYMPUT('_selmod',LEFT(PUT(Model,2.)));
       n=n+1;
       selmod='*';
      END;
     RUN;
     %IF (&print EQ) %THEN %DO;
      DATA _bic1_;
       LENGTH Arima $ 10 Selmod $1 LjungBox PLjung ToLags MU AR1-AR&_maxar MA1-MA&_maxma 8;
       SET _bic_(RENAME=(MU0=MU));
       ARRAY num{*} _NUMERIC_;
       DROP i model ar ma;
       DO i= 1 TO DIM(num);
        num(i)=ROUND(num(i),0.001);
       END;
      RUN;
      PROC TRANSPOSE DATA=_bic1_ OUT=_bic1_(DROP=_LABEL_) PREFIX=Model;
       VAR _all_;
      RUN;
      DATA _bic1_;
       SET _bic1_;
       DROP i;
       ARRAY model{*} $ model1-model&_nmod; 
       DO i= 1 TO DIM(model);
        model(i)=RIGHT(model(i));
       END;
       LABEL _name_=' ';
       RENAME _name_=Description;
      RUN;
      PROC PRINT DATA=_bic1_;
       ID Description;
       TITLE "Possible ARIMA models";
      RUN;
      TITLE;
     %END;
     %IF (&_selmod EQ 0) %THEN %DO;
      %PUT ERROR: No automatic model has been selected;
      %GOTO finmacro;
     %END;
     
     /* We compute Trend and Cycle estimates with PROC IML.                  */
     /************************************************************************/
     
     PROC IML;
      USE _bic_;
       READ ALL VAR{%DO i=1 %TO &_maxar; ar&i %END;} INTO ar;
       READ ALL VAR{%DO i=1 %TO &_maxma; ma&i %END;} INTO ma;
       READ ALL VAR{selmod} INTO selmod;
      CLOSE _bic_;
      USE _arima_;
       READ ALL VAR{&var} INTO y;
       READ ALL VAR{&date} INTO date;
       READ ALL VAR{%DO i=1 %TO &_nmod; Resid&i %END;} INTO r;
      CLOSE _arima_;
      model=LOC(selmod='*');
      nbmod=NCOL(model);
      noms=CONCAT(J(1,nbmod,'BN_Trend'),CHAR(model,4));
      noms=noms || CONCAT(J(1,nbmod,'BN_Cycle'),CHAR(model,4));
      noms=COMPRESS(noms);
      ar=J(nbmod,1,1)||(-ar)[model,];
      ma=J(nbmod,1,1)||(-ma)[model,];
      r=r[,model];
      nobs=NROW(r);
      npsi=&mcoef;
      psi=J(npsi+1,nbmod,.);
      cusum=J(npsi,nbmod,.);
      DO i=1 TO nbmod;
       cc=LOC(ar[i,]^=.);
       dd=LOC(ma[i,]^=.);
       psi[,i]=T(RATIO(ar[i,cc],ma[i,dd],npsi+1));
       psi2=psi[2:npsi+1,i];
       cusum[,i]=CUSUM(psi2[npsi:1])[npsi:1];
      END;
      cycle=J(nobs,nbmod,.);
      maxobs=MIN(npsi,nobs);
      DO i= nobs TO 2 BY -1;
       min=MIN(i,maxobs);
       rsub=r[i:MAX(i-min+1,2),];
       csub=cusum[1:NROW(rsub),];
       cycle[i,]=(rsub # csub)[+,];
      END;
      result=date || y || (REPEAT(y,1,nbmod)-cycle) || cycle;
      names={"&date" "&var"} || noms;
      CREATE &out FROM result[COLNAME=names];
       APPEND FROM result;
      CLOSE &out;
     QUIT;
     
     /* Graphs on request.                                                   */
     /************************************************************************/
     
     %IF (%UPCASE(&graph) EQ YES) %THEN %DO;
      %IF %SYSFUNC(CEXIST(&var)) %THEN %DO;
       PROC CATALOG C=&var KILL;
       QUIT;
      %END;
      DATA _NULL_;
       SET _bic_(WHERE=(selmod='*'));
       CALL SYMPUT('model'||LEFT(PUT(_N_,3.)),arima);
       CALL SYMPUT('trend'||LEFT(PUT(_N_,3.)),'BN_Trend'||LEFT(PUT(model,3.)));
       CALL SYMPUT('cycle'||LEFT(PUT(_N_,3.)),'BN_Cycle'||LEFT(PUT(model,3.)));
       CALL SYMPUT('nmod',LEFT(PUT(_N_,3.)));
      RUN;
      GOPTIONS  CBACK=white BORDER noDISPLAY DEVICE=win FTEXT=swissb noPROMPT;
      SYMBOL1 I=JOIN COLOR=&craw WIDTH=1 VALUE=none ;
      SYMBOL2 I=JOIN COLOR=&ctrend WIDTH=1 VALUE=none ;
      SYMBOL3 I=JOIN COLOR=&ccycle WIDTH=1 VALUE=none ;
      AXIS1 LABEL=NONE;
      PROC GPLOT DATA=&out GOUT=&var UNIFORM;
       %DO i=1 %TO &nmod;
        PLOT &var*&date &&trend&i*&date /FRAME NAME="orig_s&i" VAXIS=axis1 OVERLAY;
        FORMAT &date MONYY5.;
        TITLE "Variable &var and Trend, model &&model&i";
        RUN;
        PLOT &&cycle&i*&date /FRAME NAME="cycle&i" VAXIS=axis1;
        FORMAT &date MONYY5.;
        TITLE "Cycle of variable &var, model &&model&i";
        RUN;
       %END;
      QUIT;
      GOPTIONS display;
      PROC GREPLAY IGOUT=&var TC=&var NOFS GOUT=&var;
       TDEF newtwo DES='two squares of equal size'
        1/LLX=1  LLY=50 ULX=1 ULY=99 URX=99 URY=100 LRX=99 LRY=50 color=grey
        2/LLX=1  LLY=1  ULX=1  ULY=50 URX=99  URY=50 LRX=99  LRY=1 color=grey
        ;
       TEMPLATE newtwo;
       %DO i=1 %TO &nmod;
        TREPLAY 1:orig_s&i 2:cycle&i;
        RUN;
       %END;
      QUIT;
      PROC GPLOT DATA= &out GOUT=&var UNIFORM;
       %DO i=1 %TO &nmod;
        PLOT &var*&date &&trend&i*&date /FRAME NAME="both&i" VAXIS=axis1 OVERLAY;
        PLOT2 &&cycle&i*&date /FRAME NAME="double&i" VAXIS=axis1;
        FORMAT &date MONYY5.;
        TITLE "Variable &var, Estimated Trend and Cycle, model &&model&i";
        RUN;
       %END;
       QUIT;
      TITLE;
      SYMBOL;
     %END;
     %finmacro:
     
    %MEND;
    N'oubliez pas de cliquer sur lorsque votre problème est réglé !

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  3. #3
    Rédacteur

    Homme Profil pro Stéphane Colas
    Consultant et formateur SAS et Cognos
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    Nom : Homme Stéphane Colas
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    Par défaut

    Tiens j'ai ça aussi :

    http://www.cpcug.org/user/sigstat/Po...s/UDetrend.pdf

    Interessant à lire dans un cadre macro-économique.
    N'oubliez pas de cliquer sur lorsque votre problème est réglé !

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  4. #4
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    Citation Envoyé par datametric Voir le message
    Tiens j'ai ça aussi :

    http://www.cpcug.org/user/sigstat/Po...s/UDetrend.pdf

    Interessant à lire dans un cadre macro-économique.
    Merci beaucoup mais existe il une démarche sans passer par une macro?

  5. #5
    Rédacteur

    Homme Profil pro Stéphane Colas
    Consultant et formateur SAS et Cognos
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    Nom : Homme Stéphane Colas
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    pourquoi tu es allergique ?
    N'oubliez pas de cliquer sur lorsque votre problème est réglé !

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  6. #6
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    Citation Envoyé par datametric Voir le message
    pourquoi tu es allergique ?

    Non mais c'est pas simple de l'adapter à mon travail (selon moi).

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