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 i is , where k 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 p-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 35.11 for a bivariate case.
Obs |
EValueI2_1 |
EValueI2_2 |
EValueI1 |
Beta_1 |
Beta_2 |
1 |
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2 |
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. |
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|
Obs |
Alpha_1 |
Alpha_2 |
Eta_1 |
Eta_2 |
Xi_1 |
Xi_2 |
1 |
|
|
|
|
|
|
2 |
|
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|
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 35.72 shows the results of the OUTSTAT= data set.
Figure 35.72: OUTSTAT= Data Set
Obs | NAME | SIGMA_1 | SIGMA_2 | AICC | HQC | AIC | SBC | FPEC | RSquare | FValue | PValue | EValueI2_1 | EValueI2_2 | EValueI1 | Beta_1 | Beta_2 | Alpha_1 | Alpha_2 | Eta_1 | Eta_2 | Xi_1 | Xi_2 |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | y1 | 94.7557 | 4.527 | 9.37221 | 9.43236 | 9.36834 | 9.52661 | 11712.14 | 0.93900 | 482.308 | 6.1637E-57 | 0.98486 | 0.95079 | 0.50864 | 1.00000 | 1.00000 | -0.46680 | 0.007937 | -0.012307 | 0.027030 | 54.1606 | -52.3144 |
2 | y2 | 4.5268 | 109.570 | . | . | . | . | . | 0.93912 | 483.334 | 5.6124E-57 | 0.81451 | . | 0.01108 | -1.95575 | -1.33622 | 0.10667 | 0.033530 | 0.015555 | 0.023086 | -79.4240 | -18.3308 |