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The VARMAX Procedure

Overview
Getting Started
Vector Autoregressive Model Bayesian Vector Autoregressive Model Vector Error Correction Model Bayesian Vector Error Correction Model Vector Autoregressive Model with Exogenous Variables Parameter Estimation and Testing on Restrictions Causality Testing Multivariate GARCH Models
Syntax
Functional Summary PROC VARMAX Statement BOUND Statement BY Statement CAUSAL Statement COINTEG Statement GARCH Statement ID Statement INITIAL Statement MODEL Statement NLOPTIONS Statement OUTPUT Statement RESTRICT Statement TEST Statement
Details
Missing Values VARMAX Model Dynamic Simultaneous Equations Modeling Impulse Response Function Forecasting Tentative Order Selection VAR and VARX Modeling Seasonal Dummies and Time Trends Bayesian VAR and VARX Modeling VARMA and VARMAX Modeling Model Diagnostic Checks Cointegration Vector Error Correction Modeling I(2) Model Vector Error Correction Model in ARMA Form Multivariate GARCH Modeling Output Data Sets OUT= Data Set OUTEST= Data Set OUTHT= Data Set OUTSTAT= Data Set Printed Output ODS Table Names ODS Graphics Computational Issues
Examples
Analysis of United States Economic Variables Analysis of German Economic Variables Analysis of Restricted Cointegrated Systems Analysis of Euro Foreign Exchange Reference Rates Numerous Examples Illustration of ODS Graphics
References

Examples: VARMAX Procedure

Subsections:

42.1 Analysis of United States Economic Variables
42.2 Analysis of German Economic Variables
42.3 Analysis of Restricted Cointegrated Systems
42.4 Analysis of Euro Foreign Exchange Reference Rates
42.5 Numerous Examples
42.6 Illustration of ODS Graphics

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