The VARMAX Procedure |
PROC VARMAX Statement |
The following options can be used in the PROC VARMAX statement:
specifies the input SAS data set. If the DATA= option is not specified, the PROC VARMAX statement uses the most recently created SAS data set.
writes the covariance matrix for the parameter estimates to the OUTEST= data set. This option is valid only if the OUTEST= option is specified.
writes residual diagnostic results to an output data set. If the COINTTEST=(JOHANSEN) option is specified, the results of this option are also written to the output data set.
The following statements are the examples of these options in the PROC VARMAX statement:
proc varmax data=one outest=est outcov outstat=stat; model y1-y3 / p=1; run;
proc varmax data=one outest=est outstat=stat; model y1-y3 / p=1 cointtest=(johansen); run;
controls the plots produced through ODS Graphics. When you specify only one plot, you can omit the parentheses around the plot request. Some examples follow:
plots=none plots=all plots(unpack)=residual(residual normal) plots=(forecasts model)
You must enable ODS Graphics before requesting plots as shown in the following example. For general information about ODS Graphics, see Chapter 21, Statistical Graphics Using ODS (SAS/STAT User's Guide).
ods graphics on; proc varmax data=one plots=impulse(simple); model y1-y3 / p=1; run; proc varmax data=one plots=(model residual); model y1-y3 / p=1; run; proc varmax data=one plots=forecasts; model y1-y3 / p=1; output lead=12; run;
The first VARMAX program produces the simple response impulse plots. The second VARMAX program produces the plots associated with the model and prediction errors. The plots associated with prediction errors are the ACF, PACF, IACF, distribution, white-noise, and Normal quantile plots and the prediction error plot. The third VARMAX program produces the FORECASTS and FORECASTSONLY plots.
The global-plot-option applies to the impulse and prediction error analysis plots generated by the VARMAX procedure. The following global-plot-option is available:
breaks a graphic that is otherwise paneled into individual component plots.
The following plot-request-options are available:
produces all plots appropriate for the particular analysis.
produces plots of the forecasts. The forecasts-only plot that shows the multistep forecasts in the forecast region is produced by default. The following forecasts-plot-options are available:
produces the FORECASTSONLY and the FORECASTS plots. This is the default.
produces a plot that shows the one-step-ahead as well as the multistep forecasts.
produces a plot that shows only the multistep forecasts.
produces the plots of impulse response function and the impulse response of the transfer function.
produces all impulse plots. This is the default.
produces the accumulated impulse plot.
produces the orthogonalized impulse plot.
produces the simple impulse plot.
produces plots of dependent variables listed in the MODEL statement and plots of the one-step-ahead predicted values for each dependent variables.
suppresses all plots.
produces plots associated with the prediction errors obtained after modeling the data. The following residual-plot-options are available:
produces all plots associated with the analysis of the prediction errors. This is the default.
produces prediction error plot.
produces a panel of plots useful in assessing the autocorrelations and white-noise of the prediction errors. The panel consists of the following:
the autocorrelation plot of the prediction errors
the partial autocorrelation plot of the prediction errors
the inverse autocorrelation plot of the prediction errors
the log scaled white noise plot of the prediction errors
produces a panel of plots useful in assessing normality of the prediction errors. The panel consists of the following:
distribution of the prediction errors with overlaid the normal curve
normal quantile plot of the prediction errors
In addition, any of the following MODEL statement options can be specified in the PROC VARMAX statement, which is equivalent to specifying the option for every MODEL statement: CENTER, DFTEST=, DIF=, DIFX=, DIFY=, LAGMAX=, METHOD=, MINIC=, NOCURRENTX, NOINT, NOPRINT, NSEASON=, P=, PRINT=, PRINTALL, PRINTFORM=, Q=, SCENTER, TREND=, VARDEF=, and XLAG= options.
The following is an example of the options in the PROC VARMAX statement:
proc varmax data=one lagmax=3 method=ml; model y1-y3 / p=1; run;
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