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

PRINT=(ESTIMATES) with ECM=

AlphaOnDrift

$\alpha $ coefficients under the restriction of a deterministic term

JOHANSEN=

AlphaBetaInECM

$\Pi =\alpha \beta ’$ coefficients when rank=r

PRINT=(ESTIMATES) with 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

PRINT=(ESTIMATES) with 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.