TSMULMAR Call
estimates VAR processes by using the minimum AIC procedure
- CALL TSMULMAR( arcoef, ev, nar, aic, data
- <,maxlag, opt, missing,
print>);
The inputs to the TSMULMAR subroutine are as follows:
- data
- specifies a data matrix, where is the number of
observations and is the number of variables to be analyzed.
- maxlag
- specifies the maximum lag of the VAR process.
This value should be less than
of the length of input data.
The default is maxlag=10.
- opt
- specifies an options vector.
- opt[1]
- specifies the mean deletion option.
The mean of the original data is deleted if opt[1]=-1.
An intercept vector is estimated if opt[1]=1.
If opt[1]=0, the original input data are processed
assuming that the mean value of the input data is 0.
The default is opt[1]=0.
- opt[2]
- specifies the minimum AIC option.
If opt[2]=0, the maximum lag
AR process is estimated.
If opt[2]=1, the minimum AIC procedure is
used, while the opt[2]=2 option specifies
the VAR order selection method based on the AIC.
The default is opt[2]=1.
- opt[3]
- specifies instantaneous response modeling if opt[3]=1.
The default is opt[3]=0.
See the section "Multivariate Time Series Analysis" for more information.
- missing
- specifies the missing value option.
By default, only the first contiguous observations
with no missing values are used (missing=0).
The missing=1 option ignores
observations with missing values.
If you specify the missing=2 option, the
missing values are replaced with the sample mean.
- print
- specifies the print option.
By default, printed output is suppressed (print=0).
The print=1 option prints the final estimation result, while
the print=2 option prints intermediate and final results.
The TSMULMAR subroutine returns the following values:
- arcoef
- refers to an AR
coefficient matrix if the intercept is not included.
If opt[1]=1, the first column of the
arcoef matrix is an intercept vector estimate.
- ev
- refers to the error variance matrix.
- nar
- is the selected VAR order of the minimum AIC procedure.
If opt[2]=0, nar=maxlag.
aic] refers to the minimum AIC value.
The TSMULMAR subroutine estimates the VAR
process by using the minimum AIC method.
The widely used VAR order selection method is added to the
original TIMSAC program, which considers only the possibilities
of zero coefficients at the beginning and end of the model.
The TSMULMAR subroutine can also estimate
the instantaneous response model.
See the section "Multivariate Time Series Analysis" for details.
Copyright © 2009 by SAS Institute Inc., Cary, NC, USA. All rights reserved.