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

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Chapter 10: Exploration of the Output

Introduction

Roots of the Fitted Second-Order Autoregressive Model

Forecasts

Lag 0 Correlation of the Error Terms

The Infinite-Order Representations

Plots of the Impulse Response

Accumulated Effects

Effects of Orthogonal Shocks

Conclusion

Introduction

The output from an application of the VARMAX Procedure includes many elements that all help in understanding the structure of the fitted model. All these elements are indexed in the Results window. See Output 9.1.

Important details include the roots of the fitted models and the coefficients of the infinite-order autoregressive and moving average representations of the estimated model. These numbers are presented in the output as tables and visualized by diagrams. ...

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