The statements and options available in the VARMAX procedure are summarized in Table 35.1.
Table 35.1: VARMAX Functional Summary
Description 
Statement 
Option 

Data Set Options 

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= 
BY Groups 

Specifies BYgroup processing 
BY 

ID Variable 

Specifies the identifying variable 
ID 

Specifies the time interval between observations 
ID 
INTERVAL= 
Controls the alignment of SAS date values 
ID 
ALIGN= 
Options to Control the Optimization Process 

Specifies the optimization options 
NLOPTIONS 

Printing Control Options 

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= 
PRINT= Option 

Prints the correlation matrix of parameter estimates 
MODEL 
CORRB 
Prints the crosscorrelation matrices of independent variables 
MODEL 
CORRX 
Prints the crosscorrelation matrices of dependent variables 
MODEL 
CORRY 
Prints the covariance matrices of prediction errors 
MODEL 
COVPE 
Prints the crosscovariance matrices of the independent variables 
MODEL 
COVX 
Prints the crosscovariance 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 YuleWalker estimates 
MODEL 
YW 
Model Estimation and Order Selection Options 

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 movingaverage 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= 
GARCHRelated Options 

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= 
CointegrationRelated Options 

Prints the results from the weak exogeneity test of the longrun 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 StockWatson common trends test 
MODEL 
COINTTEST=(SW= ) 
Prints the DickeyFuller unit root test 
MODEL 
DFTEST= 
Tests and Restrictions on Parameters 

Tests the Granger causality 
CAUSAL 
GROUP1= 
GROUP2= 

Places and tests restrictions on parameter estimates 
RESTRICT 

Tests hypotheses on parameter estimates 
TEST 

Forecasting Control Options 

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 