The VARMAX Procedure
- Overview
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Getting Started
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Syntax
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DetailsMissing ValuesVARMAX ModelDynamic Simultaneous Equations ModelingImpulse Response FunctionForecastingTentative Order SelectionVAR and VARX ModelingBayesian VAR and VARX ModelingVARMA and VARMAX ModelingModel Diagnostic ChecksCointegrationVector Error Correction ModelingI(2) ModelMultivariate GARCH ModelingOutput Data SetsOUT= Data SetOUTEST= Data SetOUTHT= Data SetOUTSTAT= Data SetPrinted OutputODS Table NamesODS GraphicsComputational Issues
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Examples
- References
A BY statement can be used with PROC VARMAX to obtain separate analyses on observations in groups defined by the BY variables.
When a BY statement appears, the procedure expects the input data set to be sorted in order of the BY variables.
If your input data set is not sorted in ascending order, use one of the following alternatives:
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Sort the data using the SORT procedure with a similar BY statement.
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Specify the BY statement option NOTSORTED or DESCENDING in the BY statement for the VARMAX procedure. The NOTSORTED option does not mean that the data are unsorted but rather that the data are arranged in groups (according to values of the BY variables) and that these groups are not necessarily in alphabetical or increasing numeric order.
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Create an index on the BY variables using the DATASETS procedure.
For more information about the BY statement, see in SAS Language Reference: Concepts. For more information about the DATASETS procedure, see the discussion in the Base SAS Procedures Guide.
The following is an example of the BY statement:
proc varmax data=one;
by region;
model y1-y3 / p=1;
run;