SAS/ETS(R) 9.2 User's Guide

The VARMAX procedure now provides the following features:

• The ECTREND option is available in the ECM=( ) option of the MODEL statement to fit the VECM() with a restriction on the drift. The ECTREND option is ignored when either the NSEASON or NOINT option is specified.

• You can now use the DFTEST option at multiple lags. For example, DFTEST=(DLAG=(1)(12)) provides the Dickey-Fuller regular unit root test and seasonal unit root test. If the TREND= option is specified, the seasonal unit root test is not available.

• The DYNAMIC option is added to the PRINT=( ) option. This representation displays the contemporaneous relationships among the components of the vector time series.

• The CORRX, CORRY, COVPE, COVX, COVY, DECOMPOSE, IARR, IMPULSE, IMPULSX, PARCOEF, PCANCORR, and PCORR options can be used with the number in parentheses in the PRINT=( ) option. For example, you can use CORRX or CORRX(number). The options print the number of lags specified by number. The default is the number of lags specified by the LAGMAX=number.

• The subset BVAR model is now available.

• The statistics for the one lagged coefficient matrix are removed in the ECM.

• The last columns of the BETA and ALPHA are removed in the COINTTEST option when the NOINT option is not specified.

• The long variable names are available in the model parameter estimation table.

• The schematic representation of the estimates that shows the significance of the parameters is now available.

• Two new ODS Tables, ParameterGraph and GARCHParameterGraph, are added.

Many ODS table names have been changed.