The VARMAX Procedure

Functional Summary

The statements and options available in the VARMAX procedure are summarized in Table 42.1.

Table 42.1: VARMAX Functional Summary

Description	Statement	Option
Data Set Options
Specifies the input data set	VARMAX	DATA=
Writes parameter estimates to an output data set	VARMAX	OUTEST=
Includes covariances in the OUTEST= data set	VARMAX	OUTCOV
Writes the diagnostic checking tests for a model and the cointegration test results to an output data set	VARMAX	OUTSTAT=
Writes actuals, predictions, residuals, and confidence limits to an output data set	OUTPUT	OUT=
Writes the conditional covariance matrix to an output data set	GARCH	OUTHT=
BY Groups
Specifies BY-group processing	BY
ID Variable
Specifies the identifying variable	ID
Specifies the time interval between observations	ID	INTERVAL=
Controls the alignment of SAS date values	ID	ALIGN=
Options to Control the Optimization Process
Specifies the optimization options	NLOPTIONS
Printing Control Options
Specifies how many lags to print results	MODEL	LAGMAX=
Suppresses the printed output	MODEL	NOPRINT
Requests all printing options	MODEL	PRINTALL
Requests the printing format	MODEL	PRINTFORM=
Controls plots produced through ODS GRAPHICS	VARMAX	PLOTS=
PRINT= Option
Prints the correlation matrix of parameter estimates	MODEL	CORRB
Prints the cross-correlation matrices of independent variables	MODEL	CORRX
Prints the cross-correlation matrices of dependent variables	MODEL	CORRY
Prints the covariance matrices of prediction errors	MODEL	COVPE
Prints the cross-covariance matrices of the independent variables	MODEL	COVX
Prints the cross-covariance matrices of the dependent variables	MODEL	COVY
Prints the covariance matrix of parameter estimates	MODEL	COVB
Prints the decomposition of the prediction error covariance matrix	MODEL	DECOMPOSE
Prints the residual diagnostics	MODEL	DIAGNOSE
Prints the contemporaneous relationships among the components of the vector time series	MODEL	DYNAMIC
Prints the parameter estimates	MODEL	ESTIMATES
Prints the infinite order AR representation	MODEL	IARR
Prints the impulse response function	MODEL	IMPULSE=
Prints the impulse response function in the transfer function	MODEL	IMPULSX=
Prints the partial autoregressive coefficient matrices	MODEL	PARCOEF
Prints the partial canonical correlation matrices	MODEL	PCANCORR
Prints the partial correlation matrices	MODEL	PCORR
Prints the eigenvalues of the companion matrix	MODEL	ROOTS
Prints the Yule-Walker estimates	MODEL	YW
Model Estimation and Order Selection Options
Specifies the initial parameter values for non-linear optimization when the model is estimated through the maximum likelihood method	INITIAL
Centers the dependent variables	MODEL	CENTER
Specifies the degrees of differencing for the specified model variables	MODEL	DIF=
Specifies the degrees of differencing for all independent variables	MODEL	DIFX=
Specifies the degrees of differencing for all dependent variables	MODEL	DIFY=
Specifies the estimation method	MODEL	METHOD=
Selects the tentative order	MODEL	MINIC=
Suppresses the current values of independent variables	MODEL	NOCURRENTX
Suppresses the intercept parameters	MODEL	NOINT
Specifies the number of seasonal periods	MODEL	NSEASON=
Specifies the order of autoregressive polynomial	MODEL	P=
Specifies the Bayesian prior model	MODEL	PRIOR=
Specifies the order of moving-average polynomial	MODEL	Q=
Centers the seasonal dummies	MODEL	SCENTER
Specifies the degree of time trend polynomial	MODEL	TREND=
Specifies the denominator for error covariance matrix estimates	MODEL	VARDEF=
Specifies the lag order of independent variables	MODEL	XLAG=
GARCH-Related Options
Specifies how to calculate the constant (unconditional) correlation matrix in the CCC (DCC) GARCH model	GARCH	CORRCONSTANT=
Specifies the type of the multivariate GARCH model	GARCH	FORM=
Specifies the order of the GARCH polynomial	GARCH	P=
Specifies the order of the ARCH polynomial	GARCH	Q=
Specifies the type of the univariate GARCH model for each innovation in the CCC or DCC GARCH model	GARCH	SUBFORM=
Cointegration-Related Options
Specifies the restriction on the drift in the VECM	COINTEG	ECTREND
Prints the results from the weak exogeneity test of the long-run parameters	COINTEG	EXOGENEITY
Specifies the restriction on the cointegrated coefficient matrix	COINTEG	H=
Specifies the restriction on the adjustment coefficient matrix	COINTEG	J=
Specifies the nonlinear constraints that the adjustment coefficient matrix and the cointegrated coefficient matrix are both full rank	COINTEG	NLC
Specifies the variable name whose cointegrating vectors are normalized	COINTEG	NORMALIZE=
Specifies a cointegration rank	COINTEG	RANK=
Prints the Johansen cointegration rank test	MODEL	COINTTEST=
		(JOHANSEN= )
Prints the Stock-Watson common trends test	MODEL	COINTTEST=(SW= )
Prints the Dickey-Fuller unit root test	MODEL	DFTEST=
Specifies the vector error correction model (obsolete) ^[a]	MODEL	ECM=
Tests and Restrictions on Parameters
Tests the Granger causality	CAUSAL	GROUP1=
		GROUP2=
Places and tests restrictions on parameter estimates	BOUND
Places and tests restrictions on parameter estimates	RESTRICT
Tests hypotheses on parameter estimates	TEST
Forecasting Control Options
Specifies the size of confidence limits for forecasting	OUTPUT	ALPHA=
Starts forecasting before end of the input data	OUTPUT	BACK=
Specifies how many periods to forecast	OUTPUT	LEAD=
Suppresses the printed forecasts	OUTPUT	NOPRINT
^[a]Starting with SAS/ETS 14.1, it is recommended that you use the COINTEG statement instead.