The VARMAX Procedure |
Functional Summary |
The statements and options used with the VARMAX procedure are summarized in the following table:
Description |
Statement |
Option |
---|---|---|
Data Set Options |
||
specify the input data set |
VARMAX |
DATA= |
write parameter estimates to an output data set |
VARMAX |
OUTEST= |
include covariances in the OUTEST= data set |
VARMAX |
OUTCOV |
write the diagnostic checking tests for a model and the cointegration test results to an output data set |
VARMAX |
OUTSTAT= |
write actuals, predictions, residuals, and confidence limits to an output data set |
OUTPUT |
OUT= |
write the conditional covariance matrix to an output data set |
GARCH |
OUTHT= |
BY Groups |
||
specify BY-group processing |
BY |
|
ID Variable |
||
specify identifying variable |
ID |
|
specify the time interval between observations |
ID |
INTERVAL= |
control the alignment of SAS Date values |
ID |
ALIGN= |
Options to Control the Optimization Process |
||
specify the optimization options |
NLOPTIONS |
|
Printing Control Options |
||
specify how many lags to print results |
MODEL |
LAGMAX= |
suppress the printed output |
MODEL |
NOPRINT |
request all printing options |
MODEL |
PRINTALL |
request the printing format |
MODEL |
PRINTFORM= |
controls plots produced through ODS GRAPHICS |
VARMAX |
PLOTS= |
PRINT= Option |
||
print the correlation matrix of parameter estimates |
MODEL |
CORRB |
print the cross-correlation matrices of independent variables |
MODEL |
CORRX |
print the cross-correlation matrices of dependent variables |
MODEL |
CORRY |
print the covariance matrices of prediction errors |
MODEL |
COVPE |
print the cross-covariance matrices of the independent variables |
MODEL |
COVX |
print the cross-covariance matrices of the dependent variables |
MODEL |
COVY |
print the covariance matrix of parameter estimates |
MODEL |
COVB |
print the decomposition of the prediction error covariance matrix |
MODEL |
DECOMPOSE |
print the residual diagnostics |
MODEL |
DIAGNOSE |
print the contemporaneous relationships among the components of the vector time series |
MODEL |
DYNAMIC |
print the parameter estimates |
MODEL |
ESTIMATES |
print the infinite order AR representation |
MODEL |
IARR |
print the impulse response function |
MODEL |
IMPULSE= |
print the impulse response function in the transfer function |
MODEL |
IMPULSX= |
print the partial autoregressive coefficient matrices |
MODEL |
PARCOEF |
print the partial canonical correlation matrices |
MODEL |
PCANCORR |
print the partial correlation matrices |
MODEL |
PCORR |
print the eigenvalues of the companion matrix |
MODEL |
ROOTS |
print the Yule-Walker estimates |
MODEL |
YW |
Model Estimation and Order Selection Options |
||
center the dependent variables |
MODEL |
CENTER |
specify the degrees of differencing for the specified model variables |
MODEL |
DIF= |
specify the degrees of differencing for all independent variables |
MODEL |
DIFX= |
specify the degrees of differencing for all dependent variables |
MODEL |
DIFY= |
specify the vector error correction model |
MODEL |
ECM= |
specify the estimation method |
MODEL |
METHOD= |
select the tentative order |
MODEL |
MINIC= |
suppress the current values of independent variables |
MODEL |
NOCURRENTX |
suppress the intercept parameters |
MODEL |
NOINT |
specify the number of seasonal periods |
MODEL |
NSEASON= |
specify the order of autoregressive polynomial |
MODEL |
P= |
specify the Bayesian prior model |
MODEL |
PRIOR= |
specify the order of moving-average polynomial |
MODEL |
Q= |
center the seasonal dummies |
MODEL |
SCENTER |
specify the degree of time trend polynomial |
MODEL |
TREND= |
specify the denominator for error covariance matrix estimates |
MODEL |
VARDEF= |
specify the lag order of independent variables |
MODEL |
XLAG= |
GARCH Related Options |
||
specify the GARCH-type model |
GARCH |
FORM= |
specify the order of the GARCH polynomial |
GARCH |
P= |
specify the order of the ARCH polynomial |
GARCH |
Q= |
Cointegration Related Options |
||
print the results from the weak exogeneity test of the long-run parameters |
COINTEG |
EXOGENEITY |
specify the restriction on the cointegrated coefficient matrix |
COINTEG |
H= |
specify the restriction on the adjustment coefficient matrix |
COINTEG |
J= |
specify the variable name whose cointegrating vectors are normalized |
COINTEG |
NORMALIZE= |
specify a cointegration rank |
COINTEG |
RANK= |
print the Johansen cointegration rank test |
MODEL |
COINTTEST= |
(JOHANSEN= ) |
||
print the Stock-Watson common trends test |
MODEL |
COINTTEST=(SW= ) |
print the Dickey-Fuller unit root test |
MODEL |
DFTEST= |
Tests and Restrictions on Parameters |
||
test the Granger causality |
CAUSAL |
GROUP1= |
GROUP2= |
||
place and test restrictions on parameter estimates |
RESTRICT |
|
test hypotheses on parameter estimates |
TEST |
|
Forecasting Control Options |
||
specify the size of confidence limits for forecasting |
OUTPUT |
ALPHA= |
start forecasting before end of the input data |
OUTPUT |
BACK= |
specify how many periods to forecast |
OUTPUT |
LEAD= |
suppress the printed forecasts |
OUTPUT |
NOPRINT |
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