BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
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

View solution in original post

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

hackathon24-white-horiz.png

The 2025 SAS Hackathon Kicks Off on June 11!

Watch the live Hackathon Kickoff to get all the essential information about the SAS Hackathon—including how to join, how to participate, and expert tips for success.

YouTube LinkedIn

Discussion stats
  • 1 reply
  • 1752 views
  • 2 likes
  • 2 in conversation