The VARMAX Procedure

ODS Table Names

The VARMAX procedure assigns a name to each table that it creates. You can use these names to reference the table when using the Output Delivery System (ODS) to select tables and create output data sets. These names are listed in Table 35.12.

Table 35.12: ODS Tables Produced in the VARMAX Procedure

ODS Table Name	Description	Option
ODS Tables Created by the MODEL Statement
AccumImpulse	Accumulated impulse response matrices	IMPULSE=(ACCUM) IMPULSE=(ALL)
AccumImpulsebyVar	Accumulated impulse response by variable	IMPULSE=(ACCUM) IMPULSE=(ALL)
AccumImpulseX	Accumulated transfer function matrices	IMPULSX=(ACCUM) IMPULSX=(ALL)
AccumImpulseXbyVar	Accumulated transfer function by variable	IMPULSX=(ACCUM) IMPULSX=(ALL)
Alpha	$\alpha$ coefficients	JOHANSEN=
AlphaInECM	$\alpha$ coefficients when rank= $r$	ECM=
AlphaOnDrift	$\alpha$ coefficients under the restriction of a deterministic term	JOHANSEN=
AlphaBetaInECM	$\Pi =\alpha \beta ’$ coefficients when rank= $r$	ECM=
ANOVA	Univariate model diagnostic checks for the residuals	PRINT=DIAGNOSE
ARCoef	AR coefficients	PRINT=(ESTIMATES) with P=
ARRoots	Roots of AR characteristic polynomial	ROOTS with P=
Beta	$\beta$ coefficients	JOHANSEN=
BetaInECM	$\beta$ coefficients when rank= $r$	ECM=
BetaOnDrift	$\beta$ coefficients under the restriction of a deterministic term	JOHANSEN=
CCCCorrConstant	Constant correlation matrix in the CCC GARCH model	CORRCONSTANT=EXPECT with FORM=CCC
Constant	Constant estimates	without NOINT
CorrB	Correlations of parameter estimates	CORRB
CorrResiduals	Correlations of residuals	PRINT=DIAGNOSE
CorrResidualsbyVar	Correlations of residuals by variable	PRINT=DIAGNOSE
CorrResidualsGraph	Schematic representation of correlations of residuals	PRINT=DIAGNOSE
CorrXGraph	Schematic representation of sample correlations of independent series	CORRX
CorrYGraph	Schematic representation of sample correlations of dependent series	CORRY
CorrXLags	Correlations of independent series	CORRX
CorrXbyVar	Correlations of independent series by variable	CORRX
CorrYLags	Correlations of dependent series	CORRY
CorrYbyVar	Correlations of dependent series by variable	CORRY
CovarianceParameter- Estimates	Covariance parameter estimates	METHOD=ML without the ECM= option, PRIOR= option, or GARCH statement
CovB	Covariances of parameter estimates	COVB
CovInnovation	Covariances of the innovations	Default
CovPredictError	Covariance matrices of the prediction error	COVPE
CovPredictErrorbyVar	Covariances of the prediction error by variable	COVPE
CovResiduals	Covariances of residuals	PRINT=DIAGNOSE
CovResidualsbyVar	Covariances of residuals by variable	PRINT=DIAGNOSE
CovXLags	Covariances of independent series	COVX
CovXbyVar	Covariances of independent series by variable	COVX
CovYLags	Covariances of dependent series	COVY
CovYbyVar	Covariances of dependent series by variable	COVY
DCCCorrConstant	Unconditional correlation matrix in the DCC GARCH model	CORRCONSTANT=EXPECT with FORM=DCC
DecomposeCovPre- dictError	Decomposition of the prediction error covariances	DECOMPOSE
DecomposeCovPre- dictErrorbyVar	Decomposition of the prediction error covariances by variable	DECOMPOSE
DFTest	Dickey-Fuller test	DFTEST
DiagnostAR	Test the AR disturbance for the residuals	PRINT=DIAGNOSE
DiagnostWN	Test the ARCH disturbance and normality for the residuals	PRINT=DIAGNOSE
DynamicARCoef	AR coefficients of the dynamic model	DYNAMIC
DynamicConstant	Constant estimates of the dynamic model	DYNAMIC
DynamicCovInno- vation	Covariances of the innovations of the dynamic model	DYNAMIC
DynamicLinearTrend	Linear trend estimates of the dynamic model	DYNAMIC
DynamicMACoef	MA coefficients of the dynamic model	DYNAMIC
DynamicSConstant	Seasonal constant estimates of the dynamic model	DYNAMIC
DynamicParameter- Estimates	Parameter estimates table of the dynamic model	DYNAMIC
DynamicParameter- Graph	Schematic representation of the parameters of the dynamic model	DYNAMIC
DynamicQuadTrend	Quadratic trend estimates of the dynamic model	DYNAMIC
DynamicSeasonGraph	Schematic representation of the seasonal dummies of the dynamic model	DYNAMIC
DynamicXLagCoef	Dependent coefficients of the dynamic model	DYNAMIC
Hypothesis	Hypothesis of different deterministic terms in cointegration rank test	JOHANSEN=
HypothesisTest	Test hypothesis of different deterministic terms in cointegration rank test	JOHANSEN=
EigenvalueI2	Eigenvalues in integrated order 2	JOHANSEN= (IORDER=2)
Eta	$\eta$ coefficients	JOHANSEN= (IORDER=2)
InfiniteARRepresent	Infinite order ar representation	IARR
InfoCriteria	Information criteria	default
LinearTrend	Linear trend estimates	TREND=
MACoef	MA coefficients	Q=
MARoots	Roots of MA characteristic polynomial	ROOTS with Q=
MaxTest	Cointegration rank test using the maximum eigenvalue	JOHANSEN= (TYPE=MAX)
Minic	Tentative order selection	MINIC MINIC=
ModelType	Type of model	default
NObs	Number of observations	default
OrthoImpulse	Orthogonalized impulse response matrices	IMPULSE=(ORTH) IMPULSE=(ALL)
OrthoImpulsebyVar	Orthogonalized impulse response by variable	IMPULSE=(ORTH) IMPULSE=(ALL)
ParameterEstimates	Parameter estimates table	default
ParameterGraph	Schematic representation of the parameters	PRINT=ESTIMATES
PartialAR	Partial autoregression matrices	PARCOEF
PartialARGraph	Schematic representation of partial autoregression	PARCOEF
PartialCanCorr	Partial canonical correlation analysis	PCANCORR
PartialCorr	Partial cross-correlation matrices	PCORR
PartialCorrbyVar	Partial cross-correlations by variable	PCORR
PartialCorrGraph	Schematic representation of partial cross-correlations	PCORR
PortmanteauTest	Chi-square test table for residual cross-correlations	PRINT=DIAGNOSE
ProportionCovPre- dictError	Proportions of prediction error covariance decomposition	DECOMPOSE
ProportionCovPre- dictErrorbyVar	Proportions of prediction error covariance decomposition by variable	DECOMPOSE
RankTestI2	Cointegration rank test in integrated order 2	JOHANSEN= (IORDER=2)
RestrictMaxTest	Cointegration rank test using the maximum eigenvalue under the restriction of a deterministic term	JOHANSEN= (TYPE=MAX) without NOINT
RestrictTraceTest	Cointegration rank test using the trace under the restriction of a deterministic term	JOHANSEN= (TYPE=TRACE) without NOINT
QuadTrend	Quadratic trend estimates	TREND=QUAD
SeasonGraph	Schematic representation of the seasonal dummies	PRINT=ESTIMATES
SConstant	Seasonal constant estimates	NSEASON=
SimpleImpulse	Impulse response matrices	IMPULSE=(SIMPLE)
		IMPULSE=(ALL)
SimpleImpulsebyVar	Impulse response by variable	IMPULSE=(SIMPLE)
		IMPULSE=(ALL)
SimpleImpulseX	Impulse response matrices of transfer function	IMPULSX=(SIMPLE) IMPULSX=(ALL)
SimpleImpulseXbyVar	Impulse response of transfer function by variable	IMPULSX=(SIMPLE) IMPULSX=(ALL)
Summary	Simple summary statistics	default
SWTest	Common trends test	SW=
TraceTest	Cointegration rank test using the trace	JOHANSEN= (TYPE=TRACE)
Xi	$\xi$ coefficient matrix	JOHANSEN= (IORDER=2)
XLagCoef	Dependent coefficients	XLAG=
YWEstimates	Yule-Walker estimates	YW
ODS Tables Created by the GARCH Statement
ARCHCoef	ARCH coefficients	Q=
GARCHCoef	GARCH coefficients	P=
GARCHConstant	GARCH constant estimates	PRINT=ESTIMATES
GARCHParameter- Estimates	GARCH parameter estimates table	default
GARCHParameter- Graph	Schematic representation of the garch parameters	PRINT=ESTIMATES
GARCHRoots	Roots of GARCH characteristic polynomial	ROOTS
ODS Tables Created by the COINTEG Statement or the ECM option
AlphaInECM	$\alpha$ coefficients when rank= $r$	PRINT=ESTIMATES
AlphaBetaInECM	$\Pi =\alpha \beta ’$ coefficients when rank= $r$	PRINT=ESTIMATES
AlphaOnAlpha	$\alpha$ coefficients under the restriction of $\alpha$	J=
AlphaOnBeta	$\alpha$ coefficients under the restriction of $\beta$	H=
AlphaTestResults	Hypothesis testing of $\beta$	J=
BetaInECM	$\beta$ coefficients when rank= $r$	PRINT=ESTIMATES
BetaOnBeta	$\beta$ coefficients under the restriction of $\beta$	H=
BetaOnAlpha	$\beta$ coefficients under the restriction of $\alpha$	J=
BetaTestResults	Hypothesis testing of $\beta$	H=
GrangerRepresent	Coefficient of Granger representation	PRINT=ESTIMATES
HMatrix	Restriction matrix for $\beta$	H=
JMatrix	Restriction matrix for $\alpha$	J=
WeakExogeneity	Testing weak exogeneity of each dependent variable with respect to BETA	EXOGENEITY
ODS Tables Created by the CAUSAL Statement
CausalityTest	Granger causality test	default
GroupVars	Two groups of variables	default
ODS Tables Created by the RESTRICT Statement
Restrict	Restriction table	default
ODS Tables Created by the TEST Statement
Test	Wald test	default
ODS Tables Created by the OUTPUT Statement
Forecasts	Forecasts table	without NOPRINT

Note that the ODS table names suffixed by “byVar” can be obtained with the PRINTFORM=UNIVARIATE option.