The VARMAX Procedure 
OUTEST= Data Set 
The OUTEST= data set contains estimation results of the fitted model produced by the VARMAX statement. The following output variables can be created:
the BY variables
NAME, a character variable that contains the name of endogenous (dependent) variables or the name of the parameters for the covariance of the matrix of the parameter estimates if the OUTCOV option is specified
TYPE, a character variable that contains the value EST for parameter estimates, the value STD for standard error of parameter estimates, and the value COV for the covariance of the matrix of the parameter estimates if the OUTCOV option is specified
CONST, a numeric variable that contains the estimates of constant parameters and their standard errors
SEASON, a numeric variable that contains the estimates of seasonal dummy parameters and their standard errors, where , and is based on the NSEASON= option
LTREND, a numeric variable that contains the estimates of linear trend parameters and their standard errors
QTREND, a numeric variable that contains the estimates of quadratic trend parameters and their standard errors
XL, numeric variables that contain the estimates of exogenous parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of exogenous variables
AR, numeric variables that contain the estimates of autoregressive parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of endogenous variables
MA, numeric variables that contain the estimates of movingaverage parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of endogenous variables
ACH are numeric variables that contain the estimates of the ARCH parameters of the covariance matrix and their standard errors, where is the lag th coefficient matrix and for BEKK and CCC representations, where is the number of endogenous variables.
GCH are numeric variables that contain the estimates of the GARCH parameters of the covariance matrix and their standard errors, where is the lag th coefficient matrix and for BEKK and CCC representations, where is the number of endogenous variables.
GCHC are numeric variables that contain the estimates of the constant parameters of the covariance matrix and their standard errors, where for BEKK representation, is the number of endogenous variables, and for CCC representation.
CCC are numeric variables that contain the estimates of the conditional constant correlation parameters for CCC representation where .
The OUTEST= data set contains the values shown Table 30.5 for a bivariate case.
Obs 
NAME 
TYPE 
CONST 
AR1_1 
AR1_2 
AR2_1 
AR2_2 
1 
y1 
EST 





2 
STD 
se() 
se() 
se() 
se() 
se() 

3 
y2 
EST 





4 
STD 
se() 
se() 
se() 
se() 
se() 
Consider the following example:
proc varmax data=simul2 outest=est; model y1 y2 / p=2 noint ecm=(rank=1 normalize=y1) noprint; run; proc print data=est; run;
The output in Figure 30.67 shows the results of the OUTEST= data set.
Copyright © 2008 by SAS Institute Inc., Cary, NC, USA. All rights reserved.