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

Hop

Code:

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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;

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Tiens j'ai ça aussi :

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

Interessant à lire dans un cadre macro-économique.

Citation:

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Envoyé par datametric

Tiens j'ai ça aussi :

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

Interessant à lire dans un cadre macro-économique.

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Merci beaucoup mais existe il une démarche sans passer par une macro?

pourquoi tu es allergique ?

Citation:

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Envoyé par datametric

pourquoi tu es allergique ?

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