Multiple Time Series Modeling Using the SAS VARMAX Procedure

Index

A

accumulated effects 86–87

ACE (autocorrelations) 5, 37–38, 100–101

ACF (residual autocorrelation function) 71

ADF (Augmented Dickey-Fuller) test 31, 32–33

Akaike information criteria (AIC) 41, 61, 66–67

αβ^T matrix 118–119

α parameters

estimated under restrictions 123–124, 144–145

restrictions on 127–128

TEST statement for hypotheses on 126

testing hypotheses by VARMAX procedure 124–125

ARCH (Autoregressive Conditional Heteroscedasticity) effects 49, 101, 176

ARCH-effect testing 73

ARIMA models

See Autoregressive Integrated Moving Average (ARIMA) models

ARIMA procedure

Dickey-Fuller test and 35

estimating univariate ARIMA models 42

ARMA models

See Autoregressive Moving Average (ARMA) models

AR(p) models 38–39, 47–48, 49–50, 51–53, 74, ...