What’s New in SAS/ETS 13.2

VARMAX Procedure

The following features have been added to the VARMAX procedure :

  • The p-values for Johansen cointegration rank test are supported. Compared to using the critical values at three fixed significance levels, it is easier to use the p-values of the tests at any significance level of interest. Also, you can test the cointegration relationship for up to 64 dependent variables.

  • The multistep forecast for multivariate GARCH models, namely BEKK, CCC, and DCC representations, are supported. By using the LEAD= and BACK= options in the OUTPUT statement together with the OUTHT= option in the GARCH statement, you can obtain the multistep forecast of conditional covariance matrices at any horizons ahead that are of interest.