SAS and time series

noetsi

No cake for spunky
#1
If anyone knows any good material on this, I have the documentation from PROC Autoreg and the books SAS publishes on time series, I would love to hear about it.

I have spent weeks looking for good material with limited success. Something as basic as how you interpret slopes with time series, I know it is different than regular cross section data, and how you select which lags of a variable to use is something I have not found - let alone the associated code.
 

hlsmith

Less is more. Stay pure. Stay poor.
#2
Let me know when you find that magical book. I need to figure out time series some dauseuseIs part of the problem that SAS probably has multiple procedures that you can use?
 

noetsi

No cake for spunky
#3
I keep ordering ones that look good, but when they show up they are all equations with little explanation in English. Not good for a beginner. I have spent several years reading it, so I know the basics, but I need to move beyond that point.

SAS has lots of PROCS for this and I have wasted a good deal of times on ones of limited value (at least for me) such as the Almon lag.

Selecting lags for SAS is complex at best.
 

noetsi

No cake for spunky
#5
I don't know anything about that - although that might be behind some of the comments on it. It is tied to theory about how many periods ahead a given predictor influences Y. Covariance structures are not raised. Alternately you can estimate all lags and use tricks like the Almon lag to calculate the results.
 

hlsmith

Less is more. Stay pure. Stay poor.
#6
Yeah, they seem to be associated. If you think about autoregressive covariance structure, etc.