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 |
coefficients |
JOHANSEN= |
AlphaInECM |
coefficients when rank=r |
PRINT=(ESTIMATES) with ECM= |
AlphaOnDrift |
coefficients under the restriction of a deterministic term |
JOHANSEN= |
AlphaBetaInECM |
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 |
coefficients |
JOHANSEN= |
BetaInECM |
coefficients when rank=r |
PRINT=(ESTIMATES) with ECM= |
BetaOnDrift |
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 |
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 |
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 |
coefficients when rank=r |
PRINT=ESTIMATES |
AlphaBetaInECM |
coefficients when rank=r |
PRINT=ESTIMATES |
AlphaOnAlpha |
coefficients under the restriction of |
J= |
AlphaOnBeta |
coefficients under the restriction of |
H= |
AlphaTestResults |
Hypothesis testing of |
J= |
BetaInECM |
coefficients when rank=r |
PRINT=ESTIMATES |
BetaOnBeta |
coefficients under the restriction of |
H= |
BetaOnAlpha |
coefficients under the restriction of |
J= |
BetaTestResults |
Hypothesis testing of |
H= |
GrangerRepresent |
Coefficient of Granger representation |
PRINT=ESTIMATES |
HMatrix |
Restriction matrix for |
H= |
JMatrix |
Restriction matrix for |
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.