YULEVAR Procedure

@YuleVAR estimates a VAR on stationary data using the Yule-Walker equations.

@YuleVAR( options ) start end

# list of dependent variables

Parameters

start, end

range for estimation. By default, the maximum range permitted by all variables involved in the regression. Note that because it uses the stationary covariance calculation, there are no observations lost to lags.

Options

LAGS=(maximum) number of lags [1]

MODEL=(output) model computed by procedure

CRITERION=AIC/SBC/HQ/[NONE]

If you choose one of the criteria (AIC, SBC or HQ), the lag length is chosen by minimizing the chosen criterion. By default, the lag length is what you choose with the LAGS option.

PRINT/[NOPRINT]

DET=NONE/[CONSTANT]

Deterministic components, either none or the constant.

Variables Defined

%%AUTOP

chosen number of lags (INTEGER)

Example

* Brockwell & Davis, Introduction to Time Series and Forecasting, 2nd ed.

* Example 7.6.2 from pp 248-249

open data ls2.tsm

data(format=free,org=columns) 1 150 lead sales

set dlead = lead-lead{1}

set dsales = sales-sales{1}

@yulevar(lags=8,crit=aic,model=test,print)

# dlead dsales

Output

This is the output from the example above. The first table shows the (corrected) AIC for the different lag lengths, showing 5 as the minimizer. Below that are the model estimates.

Lags AICC

0 614.122350

1 571.349035

2 535.606829

3 220.902300

4 162.510017

5 158.424359*

6 164.493385

7 169.568491

8 175.087931

Estimated VAR Equations

Dependent Variable DLEAD

Variable Coeff

***********************************

1. DLEAD{1} -0.517043294

2. DLEAD{2} -0.191954744

3. DLEAD{3} -0.073329575

4. DLEAD{4} -0.031762570

5. DLEAD{5} 0.021493395

6. DSALES{1} 0.024091714

7. DSALES{2} -0.017620399

8. DSALES{3} 0.010014657

9. DSALES{4} -0.008762502

10. DSALES{5} 0.011381961

11. Constant 0.032757739

Dependent Variable DSALES

Variable Coeff

***********************************

1. DLEAD{1} -0.019087532

2. DLEAD{2} 0.046839615

3. DLEAD{3} 4.677751056

4. DLEAD{4} 3.664357955

5. DLEAD{5} 1.300113053

6. DSALES{1} -0.050631003

7. DSALES{2} 0.249682872

8. DSALES{3} 0.206464744

9. DSALES{4} 0.004438521

10. DSALES{5} 0.029279647

11. Constant 0.015588525