The VARMAX Procedure

OUTPUT Statement

OUTPUT <options> ;

The OUTPUT statement generates and prints forecasts based on the model estimated in the previous MODEL statement and, optionally, creates an output SAS data set that contains these forecasts.

When the GARCH model is estimated, the upper and lower confidence limits of forecasts are calculated by assuming that the error covariance has homoscedastic conditional covariance.

ALPHA=number

sets the forecast confidence limit size, where number is between 0 and 1. When you specify the ALPHA=number option, the upper and lower confidence limits define the 100( $\text{[math]}$ )% confidence interval. The default is ALPHA=0.05, which produces 95% confidence intervals.

BACK=number

specifies the number of observations before the end of the data at which the multistep forecasts begin. The BACK= option value must be less than or equal to the number of observations minus the number of lagged regressors in the model. The default is BACK=0, which means that the forecasts start at the end of the available data.

LEAD=number

specifies the number of multistep forecast values to compute. The default is LEAD=12.

NOPRINT

suppresses the printed forecast values of each dependent (endogenous) variable.

OUT=SAS-data-set

writes the forecast values to an output data set.

Some examples of the OUTPUT statements follow:

   proc varmax data=one;
      model y1 y2 / p=2;
      output lead=6 back=2;
   run;

   proc varmax data=one;
      model y1 y2 / p=2;
      output out=for noprint;
   run;