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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

Getting Started: VARMAX Procedure

Subsections:

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

This section provides several examples of the types of models that the VARMAX procedure supports.

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