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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 7: Use of the VARMAX Procedure to Model Univariate Series

Introduction

Wage-Price Time Series

PROC VARMAX Applied to the Wage Series

PROC VARMAX Applied to the Differenced Wage Series

Estimation of the AR(2) Model

Check of the Fit of the AR(2) Model

PROC VARMAX Applied to the Price Series

PROC VARMAX Applied to the Number of Cows Series

PROC VARMAX Applied to the Series of Milk Production

A Simple Moving Average Model of Order 1

Conclusion

Introduction

In this chapter, you will see how you can apply PROC VARMAX to easily estimate the parameters of Autoregressive Integrated Moving Average (ARIMA) models for univariate time series. The theoretical specification of the model and the estimation and checking for model fit follow the process ...

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