CAUSAL Statement

The VARMAX Procedure

CAUSAL Statement

CAUSAL GROUP1=(variables) GROUP2=(variables);

A CAUSAL statement prints the Granger-Causality test by fitting the VAR(p) model. Any number of CAUSAL statements can be specified. The CAUSAL statement proceeds with the MODEL statement and uses the variables and the autoregressive order, p, specified in the MODEL statement. Variables in the GROUP1= and GROUP2= options should be defined in the MODEL statement. If p=0 is in the MODEL statement, the CAUSAL statement is not applicable.

See the "VAR Modeling" section for details.

The following is an example of the CAUSAL statement. You specify the CAUSAL statement with the GROUP1= and GROUP2= options.

   proc varmax data=one;
      model y1-y3 / p=1;
      causal group1=(y1 y3) group2=(y2); 
      causal group1=(y2) group2=(y1 y3); 
   run;

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