The VARMAX procedure uses the nonlinear optimization (NLO) subsystem to perform nonlinear optimization tasks. For a list of all the options of the NLOPTIONS statement, see Chapter 6, Nonlinear Optimization Methods.

An example of the NLOPTIONS statement follows:

   proc varmax data=one;
      nloptions tech=qn;
      model y1 y2 / p=2;
   run;

The VARMAX procedure uses the dual quasi-Newton optimization method by default when no NLOPTIONS statement is specified. However, it uses Newton-Raphson ridge optimization when the NLOPTIONS statement is specified.

The following example uses the TECH=QUANEW by default.

   proc varmax data=one;
      model y1 y2 / p=2 method=ml;
   run;

The next example uses the TECH=NRRIDG by default.

   proc varmax data=one;
      nloptions maxiter=500 maxfunc=5000;
      model y1 y2 / p=2 method=ml;
   run;