topic Re: Interpretation Roots of AR Characteristic Polynomial in SAS Forecasting and Econometrics

topic Re: Interpretation Roots of AR Characteristic Polynomial in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Interpretation-Roots-of-AR-Characteristic-Polynomial/m-p/680542#M3948 <P>Hi <a href="https://communities.sas.com/t5/user/viewprofilepage/user-id/343540">@itslarajean</a> , </P> <P> </P> <P>Although the PROC VARMAX documentation does not include many details on the output of the ROOTS option, the SAS/IML product includes the VTSROOT call routine, which performs a similar analysis.  Please see the following documentation link to the VTSROOT subroutine for a description of the calculations and output:</P> <P> </P> <P><A href="https://go.documentation.sas.com/?docsetId=imlug&docsetTarget=imlug_langref_sect553.htm&docsetVersion=15.1&locale=en" target="_self">https://go.documentation.sas.com/?docsetId=imlug&docsetTarget=imlug_langref_sect553.htm&docsetVersion=15.1&locale=en</A> </P> <P> </P> <P>Additional details can also be found in the following reference:</P> <DIV id="app" class="app h-full ng-scope" aria-hidden="false"> <DIV class="app-wrapper ng-scope"> <DIV id="app-bottom-wrapper" class="app-b-wrapper"> <DIV id="document-panel" class="pos-r h-full" aria-hidden="false"> <DIV class="overflow-h ng-scope"> <DIV id="document" class="document scrollable ng-scope" role="main"> <DIV id="pageContent" class="document-body wrapper" lang="en" tabindex="0" aria-live="polite"> <DIV class="xis-refProc ng-scope"> <SECTION id="etsug_varmax025913" class=" aa-bibliography"> <DIV> <UL> <LI id="etsug_varmaxlutk_h93" class=" aa-bibitem"> <P>Lütkepohl, H. (1993). <SPAN><EM>Introduction to Multiple Time Series Analysis</EM></SPAN>. 2nd ed. Berlin: Springer-Verlag.</P> </LI> </UL> <P>I hope this helps!</P> <P>DW</P> </DIV> </SECTION> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> Mon, 31 Aug 2020 20:26:22 GMT dw_sas 2020-08-31T20:26:22Z Interpretation Roots of AR Characteristic Polynomial https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Interpretation-Roots-of-AR-Characteristic-Polynomial/m-p/679787#M3945 Apart from Modulus, how should I interpret the Real, Imaginary, Degree and Radian of a ROOTS print output of a VARMAX procedure roots of AR Characteristic Polynomial (given in the PDF, extracted from the SAS VARMAX procedure Guide)<BR /><BR />Thanks in advance. Thu, 27 Aug 2020 16:06:58 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Interpretation-Roots-of-AR-Characteristic-Polynomial/m-p/679787#M3945 itslarajean 2020-08-27T16:06:58Z Re: Interpretation Roots of AR Characteristic Polynomial https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Interpretation-Roots-of-AR-Characteristic-Polynomial/m-p/680542#M3948 <P>Hi <a href="https://communities.sas.com/t5/user/viewprofilepage/user-id/343540">@itslarajean</a> , </P> <P> </P> <P>Although the PROC VARMAX documentation does not include many details on the output of the ROOTS option, the SAS/IML product includes the VTSROOT call routine, which performs a similar analysis.  Please see the following documentation link to the VTSROOT subroutine for a description of the calculations and output:</P> <P> </P> <P><A href="https://go.documentation.sas.com/?docsetId=imlug&docsetTarget=imlug_langref_sect553.htm&docsetVersion=15.1&locale=en" target="_self">https://go.documentation.sas.com/?docsetId=imlug&docsetTarget=imlug_langref_sect553.htm&docsetVersion=15.1&locale=en</A> </P> <P> </P> <P>Additional details can also be found in the following reference:</P> <DIV id="app" class="app h-full ng-scope" aria-hidden="false"> <DIV class="app-wrapper ng-scope"> <DIV id="app-bottom-wrapper" class="app-b-wrapper"> <DIV id="document-panel" class="pos-r h-full" aria-hidden="false"> <DIV class="overflow-h ng-scope"> <DIV id="document" class="document scrollable ng-scope" role="main"> <DIV id="pageContent" class="document-body wrapper" lang="en" tabindex="0" aria-live="polite"> <DIV class="xis-refProc ng-scope"> <SECTION id="etsug_varmax025913" class=" aa-bibliography"> <DIV> <UL> <LI id="etsug_varmaxlutk_h93" class=" aa-bibitem"> <P>Lütkepohl, H. (1993). <SPAN><EM>Introduction to Multiple Time Series Analysis</EM></SPAN>. 2nd ed. Berlin: Springer-Verlag.</P> </LI> </UL> <P>I hope this helps!</P> <P>DW</P> </DIV> </SECTION> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> </DIV> Mon, 31 Aug 2020 20:26:22 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Interpretation-Roots-of-AR-Characteristic-Polynomial/m-p/680542#M3948 dw_sas 2020-08-31T20:26:22Z