Interpretation Roots of AR Characteristic Polynomial

[itslarajean]

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)

Thanks in advance.

[dw_sas · Accepted solution]

Hi @itslarajean , 

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:

https://go.documentation.sas.com/?docsetId=imlug&docsetTarget=imlug_langref_sect553.htm&docsetVersio... 

Additional details can also be found in the following reference:

• Lütkepohl, H. (1993). Introduction to Multiple Time Series Analysis. 2nd ed. Berlin: Springer-Verlag.

I hope this helps!

DW