The VARMAX Procedure

Specifies the input data set

VARMAX

DATA=

Writes parameter estimates to an output data set

VARMAX

OUTEST=

Includes covariances in the OUTEST= data set

VARMAX

OUTCOV

Writes the diagnostic checking tests for a model and the cointegration test results to an output data set

VARMAX

OUTSTAT=

Writes actuals, predictions, residuals, and confidence limits to an output data set

OUTPUT

OUT=

Writes the conditional covariance matrix to an output data set

GARCH

OUTHT=

Specifies BY-group processing

BY

Specifies the identifying variable

ID

Specifies the time interval between observations

ID

INTERVAL=

Controls the alignment of SAS date values

ID

ALIGN=

Specifies the optimization options

NLOPTIONS

Specifies how many lags to print results

MODEL

LAGMAX=

Suppresses the printed output

MODEL

NOPRINT

Requests all printing options

MODEL

PRINTALL

Requests the printing format

MODEL

PRINTFORM=

Controls plots produced through ODS GRAPHICS

VARMAX

PLOTS=

Prints the correlation matrix of parameter estimates

MODEL

CORRB

Prints the cross-correlation matrices of independent variables

MODEL

CORRX

Prints the cross-correlation matrices of dependent variables

MODEL

CORRY

Prints the covariance matrices of prediction errors

MODEL

COVPE

Prints the cross-covariance matrices of the independent variables

MODEL

COVX

Prints the cross-covariance matrices of the dependent variables

MODEL

COVY

Prints the covariance matrix of parameter estimates

MODEL

COVB

Prints the decomposition of the prediction error covariance matrix

MODEL

DECOMPOSE

Prints the residual diagnostics

MODEL

DIAGNOSE

Prints the contemporaneous relationships among the components of the vector time series

MODEL

DYNAMIC

Prints the parameter estimates

MODEL

ESTIMATES

Prints the infinite order AR representation

MODEL

IARR

Prints the impulse response function

MODEL

IMPULSE=

Prints the impulse response function in the transfer function

MODEL

IMPULSX=

Prints the partial autoregressive coefficient matrices

MODEL

PARCOEF

Prints the partial canonical correlation matrices

MODEL

PCANCORR

Prints the partial correlation matrices

MODEL

PCORR

Prints the eigenvalues of the companion matrix

MODEL

ROOTS

Prints the Yule-Walker estimates

MODEL

YW

Centers the dependent variables

MODEL

CENTER

Specifies the degrees of differencing for the specified model variables

MODEL

DIF=

Specifies the degrees of differencing for all independent variables

MODEL

DIFX=

Specifies the degrees of differencing for all dependent variables

MODEL

DIFY=

Specifies the vector error correction model

MODEL

ECM=

Specifies the estimation method

MODEL

METHOD=

Selects the tentative order

MODEL

MINIC=

Suppresses the current values of independent variables

MODEL

NOCURRENTX

Suppresses the intercept parameters

MODEL

NOINT

Specifies the number of seasonal periods

MODEL

NSEASON=

Specifies the order of autoregressive polynomial

MODEL

P=

Specifies the Bayesian prior model

MODEL

PRIOR=

Specifies the order of moving-average polynomial

MODEL

Q=

Centers the seasonal dummies

MODEL

SCENTER

Specifies the degree of time trend polynomial

MODEL

TREND=

Specifies the denominator for error covariance matrix estimates

MODEL

VARDEF=

Specifies the lag order of independent variables

MODEL

XLAG=

Specifies how to calculate the constant (unconditional) correlation matrix in the CCC (DCC) GARCH model

GARCH

CORRCONSTANT=

Specifies the type of the multivariate GARCH model

GARCH

FORM=

Specifies the order of the GARCH polynomial

GARCH

P=

Specifies the order of the ARCH polynomial

GARCH

Q=

Specifies the type of the univariate GARCH model for each innovation in the CCC or DCC GARCH model

GARCH

SUBFORM=

Prints the results from the weak exogeneity test of the long-run parameters

COINTEG

EXOGENEITY

Specifies the restriction on the cointegrated coefficient matrix

COINTEG

H=

Specifies the restriction on the adjustment coefficient matrix

COINTEG

J=

Specifies the variable name whose cointegrating vectors are normalized

COINTEG

NORMALIZE=

Specifies a cointegration rank

COINTEG

RANK=

Prints the Johansen cointegration rank test

MODEL

COINTTEST=

(JOHANSEN= )

Prints the Stock-Watson common trends test

MODEL

COINTTEST=(SW= )

Prints the Dickey-Fuller unit root test

MODEL

DFTEST=

Tests the Granger causality

CAUSAL

GROUP1=

GROUP2=

Places and tests restrictions on parameter estimates

RESTRICT

Tests hypotheses on parameter estimates

TEST

Specifies the size of confidence limits for forecasting

OUTPUT

ALPHA=

Starts forecasting before end of the input data

OUTPUT

BACK=

Specifies how many periods to forecast

OUTPUT

LEAD=

Suppresses the printed forecasts

OUTPUT

NOPRINT