Get Multiple Time Series Modeling Using the SAS VARMAX Procedure now with O’Reilly online learning.
O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.
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
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
In this chapter, PROC VARMAX is introduced for estimating ...