The VARMAX Procedure

The OUTSTAT= data set contains estimation results of the fitted model produced by the VARMAX statement. The following output variables can be created. The subindex is , where is the number of endogenous variables.

• the BY variables

• NAME, a character variable that contains the name of endogenous (dependent) variables

• SIGMA, numeric variables that contain the estimate of the innovation covariance matrix

• AICC, a numeric variable that contains the corrected Akaike’s information criterion value

• HQC, a numeric variable that contains the Hannan-Quinn’s information criterion value

• AIC, a numeric variable that contains the Akaike’s information criterion value

• SBC, a numeric variable that contains the Schwarz Bayesian’s information criterion value

• FPEC, a numeric variable that contains the final prediction error criterion value

• FValue, a numeric variable that contains the statistics

• PValue, a numeric variable that contains -value for the statistics

If the JOHANSEN= option is specified, the following items are added:

• Eigenvalue, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1

• RestrictedEigenvalue, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1 when the NOINT option is not specified

• Beta, numeric variables that contain long-run effect parameter estimates,

• Alpha, numeric variables that contain adjustment parameter estimates,

If the JOHANSEN=(IORDER=2) option is specified, the following items are added:

• EValueI2, numeric variables that contain eigenvalues for the cointegration rank test of integrated order 2

• EValueI1, a numeric variable that contains eigenvalues for the cointegration rank test of integrated order 1

• Eta, numeric variables that contain the parameter estimates in integrated order 2,

• Xi, numeric variables that contain the parameter estimates in integrated order 2,

The OUTSTAT= data set contains the values shown Table 35.7 for a bivariate case.

Consider the following example:

proc varmax data=simul2 outstat=stat;
   model y1 y2 / p=2 noint
                 cointtest=(johansen=(iorder=2))
                 ecm=(rank=1 normalize=y1)
                 noprint;
run;

proc print data=stat;
run;

The output in Figure 35.69 shows the results of the OUTSTAT= data set.