Multiple Time Series Modeling Using the SAS VARMAX Procedure

Chapter 9: Use of the VARMAX Procedure to Model Multivariate Series

Introduction

Use of PROC VARMAX to Model Multivariate Time Series

Dickey-Fuller Tests for Differenced Series

Selection of Model Orders

Fit of a Fourth-Order Autoregressive Model

Estimation for the Parameters

Restriction of Insignificant Model Parameters

Residual Autocorrelation in a VARMA(2,0) Model

Cross-Correlation Significance

Portmanteau Tests

Distribution of the Residuals in a VARMA(2,0) Model

Identification of Outliers

Use of a VARMA Model for Milk Production and the Number of Cows

Analysis of the Standardized Series

Correlation Matrix of the Error Terms

The Model Fit

Properties of the Fitted Model

Conclusion

Introduction

In this chapter, PROC VARMAX is introduced for estimating ...