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The VARMAX Procedure
The VARMAX Procedure
Overview: VARMAX Procedure
Getting Started: VARMAX Procedure
Vector Autoregressive Process
Bayesian Vector Autoregressive Process
Vector Error Correction Model
Bayesian Vector Error Correction Model
Vector Autoregressive Process with Exogenous Variables
Parameter Estimation and Testing on Restrictions
Causality Testing
Syntax: VARMAX Procedure
Functional Summary
PROC VARMAX Statement
BY Statement
CAUSAL Statement
COINTEG Statement
ID Statement
MODEL Statement
GARCH Statement
NLOPTIONS Statement
OUTPUT Statement
RESTRICT Statement
TEST Statement
Details: VARMAX Procedure
Missing Values
VARMAX Model
Dynamic Simultaneous Equations Modeling
Impulse Response Function
Forecasting
Tentative Order Selection
VAR and VARX Modeling
Bayesian VAR and VARX Modeling
VARMA and VARMAX Modeling
Model Diagnostic Checks
Cointegration
Vector Error Correction Modeling
I(2) Model
Multivariate GARCH Modeling
Output Data Sets
OUT= Data Set
OUTEST= Data Set
OUTHT= Data Set
OUTSTAT= Data Set
Printed Output
ODS Table Names
ODS Graphics
Computational Issues
Examples: VARMAX Procedure
Analysis of U.S. Economic Variables
Analysis of German Economic Variables
Numerous Examples
Illustration of ODS Graphics
References
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Copyright © 2008 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
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