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Lütkepohl, H. (1993). Introduction to Multiple Time Series Analysis. 2nd ed. Berlin: Springer-Verlag.
I hope this helps!
DW
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:
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
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:
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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