The VARMAX Procedure
- Overview
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Getting Started
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Syntax
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Details
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
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Examples
- References
| TEST Statement |
The TEST statement performs the Wald test for the joint hypothesis specified in the statement. The syntax of restriction is parameter=value, and each restriction is separated by commas. The restrictions are specified in the same manner as in the RESTRICT statement. See the RESTRICT statement for description of model parameter naming conventions used by the RESTRICT and TEST statements. Any number of TEST statements can be specified.
To use the TEST statement, you need to know the form of the model. If the P=, Q=, and XLAG= options are not specified, then the TEST statement is not applicable.
See the section Granger Causality Test for the Wald test.
The following is an example of the TEST statement. In the case of a bivariate (
=2) VAR(2) model,
proc varmax data=one;
model y1 y2 / p=2;
test AR(1,1,2)=0, AR(2,1,2)=0;
run;
After estimating the parameters, the TEST statement tests the null hypothesis that AR(1,1,2)=0 and AR(2,1,2)=0.