The VARMAX Procedure

The OUTEST= data set contains estimation results of the fitted model produced by the VARMAX statement. The following output variables can be created:

• the BY variables

• NAME, a character variable that contains the name of endogenous (dependent) variables or the name of the parameters for the covariance of the matrix of the parameter estimates if the OUTCOV option is specified

• TYPE, a character variable that contains the value EST for parameter estimates, the value STD for standard error of parameter estimates, and the value COV for the covariance of the matrix of the parameter estimates if the OUTCOV option is specified

• CONST, a numeric variable that contains the estimates of constant parameters and their standard errors

• SEASON, a numeric variable that contains the estimates of seasonal dummy parameters and their standard errors, where , and is based on the NSEASON= option

• LTREND, a numeric variable that contains the estimates of linear trend parameters and their standard errors

• QTREND, a numeric variable that contains the estimates of quadratic trend parameters and their standard errors

• XL, numeric variables that contain the estimates of exogenous parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of exogenous variables

• AR, numeric variables that contain the estimates of autoregressive parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of endogenous variables

• MA, numeric variables that contain the estimates of moving-average parameters and their standard errors, where is the lag th coefficient matrix and , where is the number of endogenous variables

• ACH are numeric variables that contain the estimates of the ARCH parameters of the covariance matrix and their standard errors, where is the lag th coefficient matrix and for BEKK and CCC representations, where is the number of endogenous variables.

• GCH are numeric variables that contain the estimates of the GARCH parameters of the covariance matrix and their standard errors, where is the lag th coefficient matrix and for BEKK and CCC representations, where is the number of endogenous variables.

• GCHC are numeric variables that contain the estimates of the constant parameters of the covariance matrix and their standard errors, where for BEKK representation, is the number of endogenous variables, and for CCC representation.

• CCC are numeric variables that contain the estimates of the conditional constant correlation parameters for CCC representation where .

The OUTEST= data set contains the values shown Table 35.5 for a bivariate case.

Consider the following example:

proc varmax data=simul2 outest=est;
   model y1 y2 / p=2 noint
                 ecm=(rank=1 normalize=y1)
                 noprint;
run;

proc print data=est;
run;

The output in Figure 35.67 shows the results of the OUTEST= data set.