VARMAX Procedure

Getting Started: VARMAX Procedure

Subsections:

Vector Autoregressive Model
Bayesian Vector Autoregressive Model
Vector Error Correction Model
Bayesian Vector Error Correction Model
Vector Autoregressive Fractionally Integrated Moving Average Model
Vector Autoregressive Model with Exogenous Variables
Parameter Estimation and Testing on Restrictions
Causality Testing
Multivariate GARCH Models

This section provides several examples of the types of models that the VARMAX procedure supports.

Last updated: June 19, 2025