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The VARMAX Procedure

OUTSTAT= Data Set

The OUTSTAT= data set contains estimation results of the fitted model produced by the VARMAX statement. The following output variables can be created. The subindex is , where is the number of endogenous variables.

  • the BY variables

  • NAME, a character variable that contains the name of endogenous (dependent) variables

  • SIGMA, numeric variables that contain the estimate of the innovation covariance matrix

  • AICC, a numeric variable that contains the corrected Akaike’s information criterion value

  • HQC, a numeric variable that contains the Hannan-Quinn’s information criterion value

  • AIC, a numeric variable that contains the Akaike’s information criterion value

  • SBC, a numeric variable that contains the Schwarz Bayesian’s information criterion value

  • FPEC, a numeric variable that contains the final prediction error criterion value

  • FValue, a numeric variable that contains the statistics

  • PValue, a numeric variable that contains -value for the statistics

If the JOHANSEN= option is specified, the following items are added:

  • Eigenvalue, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1

  • RestrictedEigenvalue, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1 when the NOINT option is not specified

  • Beta, numeric variables that contain long-run effect parameter estimates,

  • Alpha, numeric variables that contain adjustment parameter estimates,

If the JOHANSEN=(IORDER=2) option is specified, the following items are added:

  • EValueI2, numeric variables that contain eigenvalues for the cointegration rank test of integrated order 2

  • EValueI1, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1

  • Eta, numeric variables that contain the parameter estimates in integrated order 2,

  • Xi, numeric variables that contain the parameter estimates in integrated order 2,

The OUTSTAT= data set contains the values shown Table 30.7 for a bivariate case.

Table 30.7 OUTSTAT= Data Set

Obs

NAME

SIGMA_1

SIGMA_2

AICC

RSquare

FValue

PValue

1

y1

2

y2

.

Obs

EValueI2_1

EValueI2_2

EValueI1

Beta_1

Beta_2

1

2

.

Obs

Alpha_1

Alpha_2

Eta_1

Eta_2

Xi_1

Xi_2

1

2

Consider the following example:

   proc varmax data=simul2 outstat=stat;
      model y1 y2 / p=2 noint
                    cointtest=(johansen=(iorder=2))
                    ecm=(rank=1 normalize=y1)
                    noprint;
   run;
   
   proc print data=stat;
   run;

The output in Figure 30.69 shows the results of the OUTSTAT= data set.

Figure 30.69 OUTSTAT= Data Set
Obs NAME SIGMA_1 SIGMA_2 AICC HQC AIC SBC FPEC RSquare FValue PValue EValueI2_1 EValueI2_2 EValueI1 Beta_1 Beta_2 Alpha_1 Alpha_2 Eta_1 Eta_2 Xi_1 Xi_2
1 y1 94.7557 4.527 9.37221 9.43236 9.36834 9.52661 11712.14 0.93905 482.782 5.9027E-57 0.98486 0.95079 0.50864 1.00000 1.00000 -0.46680 0.007937 -0.012307 0.027030 54.1606 -52.3144
2 y2 4.5268 109.570 . . . . . 0.94085 498.423 1.4445E-57 0.81451 . 0.01108 -1.95575 -1.33622 0.10667 0.033530 0.015555 0.023086 -79.4240 -18.3308

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