OUTEST= Data Set
The OUTEST= data set contains all the variables used in any MODEL statement.
Each regressor variable contains the estimate for the corresponding
regression parameter in the corresponding model.
In addition, the OUTEST= data set contains the following variables:
- _A_i
- the ith order autoregressive parameter estimate.
There are m such variables _A_1 through _A_m, where
m is the value of the NLAG= option.
- _AH_i
- the ith order ARCH parameter estimate,
if the GARCH= option is specified.
There are q such variables _AH_1 through _AH_q, where
q is the value of the Q= option. The variable _AH_0
contains the estimate of
.
- _DELTA_
- the estimated mean parameter for the GARCH-M model,
if a GARCH-in-mean model is specified
- _DEPVAR_
- the name of the dependent variable
- _GH_i
- the ith order GARCH parameter estimate,
if the GARCH= option is specified.
There are p such variables _GH_1 through _GH_p, where
p is the value of the P= option.
- INTERCEP
- the intercept estimate.
INTERCEP contains a missing value for models for which
the NOINT option is specified.
- _METHOD_
- the estimation method that is specified in
the METHOD= option
- _MODEL_
- the label of the MODEL statement if one is given,
or blank otherwise
- _MSE_
- the value of the mean square error for the model
- _NAME_
- the name of the row of covariance matrix for the parameter estimate,
if the COVOUT option is specified
- _LIKL_
- the log likelihood value of the GARCH model
- _SSE_
- the value of the error sum of squares
- _STDERR_
- standard error of the parameter estimate,
if the COVOUT option is specified
- _THETA_
- the estimate of the
parameter in the EGARCH model,
if an EGARCH model is specified
- _TYPE_
- OLS for observations containing parameter estimates, or
COV for observations containing covariance matrix elements.
The OUTEST= data set contains one observation for each MODEL statement
giving the parameter estimates for that model.
If the COVOUT option is specified,
the OUTEST= data set includes additional observations for each MODEL
statement giving the rows of the covariance of parameter estimates matrix.
For covariance observations, the value of the _TYPE_ variable is COV,
and the _NAME_ variable identifies the parameter associated with that
row of the covariance matrix.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
