Given a stationary multivariate time series , crosscovariance matrices are

where , and crosscorrelation matrices are

where is a diagonal matrix with the standard deviations of the components of on the diagonal.
The sample crosscovariance matrix at lag , denoted as , is computed as

where is the centered data and is the number of nonmissing observations. Thus, has th element . The sample crosscorrelation matrix at lag is computed as

The following statements use the CORRY option to compute the sample crosscorrelation matrices and their summary indicator plots in terms of and , where indicates significant positive crosscorrelations, indicates significant negative crosscorrelations, and indicates insignificant crosscorrelations.
proc varmax data=simul1; model y1 y2 / p=1 noint lagmax=3 print=(corry) printform=univariate; run;
Figure 36.39 shows the sample crosscorrelation matrices of and . As shown, the sample autocorrelation functions for each variable decay quickly, but are significant with respect to two standard errors.
Figure 36.39: CrossCorrelations (CORRY Option)
Cross Correlations of Dependent Series by Variable 


Variable  Lag  y1  y2 
y1  0  1.00000  0.67041 
1  0.83143  0.84330  
2  0.56094  0.81972  
3  0.26629  0.66154  
y2  0  0.67041  1.00000 
1  0.29707  0.77132  
2  0.00936  0.48658  
3  0.22058  0.22014 
Schematic Representation of Cross Correlations 


Variable/Lag  0  1  2  3 
y1  ++  ++  ++  ++ 
y2  ++  ++  .+  + 
+ is > 2*std error,  is < 2*std error, . is between 
For each you can define a sequence of matrices , which is called the partial autoregression matrices of lag , as the solution for to the YuleWalker equations of order ,

The sequence of the partial autoregression matrices of order has the characteristic property that if the process follows the AR(), then and for . Hence, the matrices have the cutoff property for a VAR() model, and so they can be useful in the identification of the order of a pure VAR model.
The following statements use the PARCOEF option to compute the partial autoregression matrices:
proc varmax data=simul1; model y1 y2 / p=1 noint lagmax=3 printform=univariate print=(corry parcoef pcorr pcancorr roots); run;
Figure 36.40 shows that the model can be obtained by an AR order since partial autoregression matrices are insignificant after lag 1 with respect to two standard errors. The matrix for lag 1 is the same as the YuleWalker autoregressive matrix.
Figure 36.40: Partial Autoregression Matrices (PARCOEF Option)
Partial Autoregression  

Lag  Variable  y1  y2 
1  y1  1.14844  0.50954 
y2  0.54985  0.37409  
2  y1  0.00724  0.05138 
y2  0.02409  0.05909  
3  y1  0.02578  0.03885 
y2  0.03720  0.10149 
Schematic Representation of Partial Autoregression 


Variable/Lag  1  2  3 
y1  +  ..  .. 
y2  ++  ..  .. 
+ is > 2*std error,  is < 2*std error, . is between 
Define the forward autoregression

and the backward autoregression

The matrices defined by Ansley and Newbold (1979) are given by

where

and

are the partial crosscorrelation matrices at lag between the elements of and , given . The matrices have the cutoff property for a VAR() model, and so they can be useful in the identification of the order of a pure VAR structure.
The following statements use the PCORR option to compute the partial crosscorrelation matrices:
proc varmax data=simul1; model y1 y2 / p=1 noint lagmax=3 print=(pcorr) printform=univariate; run;
The partial crosscorrelation matrices in Figure 36.41 are insignificant after lag 1 with respect to two standard errors. This indicates that an AR order of can be an appropriate choice.
Figure 36.41: Partial Correlations (PCORR Option)
Partial Cross Correlations by Variable  

Variable  Lag  y1  y2 
y1  1  0.80348  0.42672 
2  0.00276  0.03978  
3  0.01091  0.00032  
y2  1  0.30946  0.71906 
2  0.04676  0.07045  
3  0.01993  0.10676 
Schematic Representation of Partial Cross Correlations 


Variable/Lag  1  2  3 
y1  ++  ..  .. 
y2  +  ..  .. 
+ is > 2*std error,  is < 2*std error, . is between 
The partial canonical correlations at lag between the vectors and , given , are . The partial canonical correlations are the canonical correlations between the residual series and , where and are defined in the previous section. Thus, the squared partial canonical correlations are the eigenvalues of the matrix

It follows that the test statistic to test for in the VAR model of order is approximately

and has an asymptotic chisquare distribution with degrees of freedom for .
The following statements use the PCANCORR option to compute the partial canonical correlations:
proc varmax data=simul1; model y1 y2 / p=1 noint lagmax=3 print=(pcancorr); run;
Figure 36.42 shows that the partial canonical correlations between and are {0.918, 0.773}, {0.092, 0.018}, and {0.109, 0.011} for lags 1 to 3. After lag 1, the partial canonical correlations are insignificant with respect to the 0.05 significance level, indicating that an AR order of can be an appropriate choice.
Figure 36.42: Partial Canonical Correlations (PCANCORR Option)
Partial Canonical Correlations  

Lag  Correlation1  Correlation2  DF  ChiSquare  Pr > ChiSq 
1  0.91783  0.77335  4  142.61  <.0001 
2  0.09171  0.01816  4  0.86  0.9307 
3  0.10861  0.01078  4  1.16  0.8854 
The minimum information criterion (MINIC) method can tentatively identify the orders of a VARMA(,) process. Note that Spliid (1983), Koreisha and Pukkila (1989), and Quinn (1980) proposed this method. The first step of this method is to obtain estimates of the innovations series, , from the VAR(), where is chosen sufficiently large. The choice of the autoregressive order, , is determined by use of a selection criterion. From the selected VAR() model, you obtain estimates of residual series

In the second step, you select the order () of the VARMA model for in and in

which minimizes a selection criterion like SBC or HQ.
The following statements use the MINIC= option to compute a table that contains the information criterion associated with various AR and MA orders:
proc varmax data=simul1; model y1 y2 / p=1 noint minic=(p=3 q=3); run;
Figure 36.43 shows the output associated with the MINIC= option. The criterion takes the smallest value at AR order 1.
Figure 36.43: MINIC= Option
Minimum Information Criterion Based on AICC  

Lag  MA 0  MA 1  MA 2  MA 3 
AR 0  3.3574947  3.0331352  2.7080996  2.3049869 
AR 1  0.5544431  0.6146887  0.6771732  0.7517968 
AR 2  0.6369334  0.6729736  0.7610413  0.8481559 
AR 3  0.7235629  0.7551756  0.8053765  0.8654079 