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The VARMAX Procedure

Overview
Getting Started
Vector Autoregressive Process Bayesian Vector Autoregressive Process Vector Error Correction Model Bayesian Vector Error Correction Model Vector Autoregressive Process with Exogenous Variables Parameter Estimation and Testing on Restrictions Causality Testing
Syntax
Functional Summary PROC VARMAX Statement BOUND Statement BY Statement CAUSAL Statement COINTEG Statement GARCH Statement ID Statement INITIAL Statement MODEL Statement NLOPTIONS Statement OUTPUT Statement RESTRICT Statement TEST Statement
Details
Missing Values VARMAX Model Dynamic Simultaneous Equations Modeling Impulse Response Function Forecasting Tentative Order Selection VAR and VARX Modeling Bayesian VAR and VARX Modeling VARMA and VARMAX Modeling Model Diagnostic Checks Cointegration Vector Error Correction Modeling I(2) Model Multivariate GARCH Modeling Output Data Sets OUT= Data Set OUTEST= Data Set OUTHT= Data Set OUTSTAT= Data Set Printed Output ODS Table Names ODS Graphics Computational Issues
Examples
Analysis of U.S. Economic Variables Analysis of German Economic Variables Numerous Examples Illustration of ODS Graphics
References

Getting Started: VARMAX Procedure

Subsections:

Vector Autoregressive Process
Bayesian Vector Autoregressive Process
Vector Error Correction Model
Bayesian Vector Error Correction Model
Vector Autoregressive Process with Exogenous Variables
Parameter Estimation and Testing on Restrictions
Causality Testing

This section outlines the use of the VARMAX procedure and gives five different examples of the kinds of models supported.

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