The VARMAX Procedure

TEST Statement

TEST restriction, …, restriction ;

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 ($k$=2) VAR(2) model,

   proc varmax data=one;
      model y1 y2 / p=2;
      test AR(1,1,2)=0, AR(2,1,2)=0;

After estimating the parameters, the TEST statement tests the null hypothesis that AR(1,1,2)=0 and AR(2,1,2)=0.