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itslarajean
Fluorite | Level 6
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.
1 ACCEPTED SOLUTION

Accepted Solutions
dw_sas
SAS Employee

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

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1 REPLY 1
dw_sas
SAS Employee

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

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