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The VARMAX Procedure

Functional Summary

The statements and options used with the VARMAX procedure are summarized in the following table:

Table 32.1 VARMAX Functional Summary

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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