https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/268843#M1737 <P>Thanks. I will go through it.</P> Fri, 06 May 2016 16:18:11 GMT tsoukieh 2016-05-06T16:18:11Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/266452#M1717 <P>I have created a performance score and want to check which of my long list of variables is a leading indicator of this performance score. How do I select the variable set that I should use in the model?</P><P>Should I use GLMSELECT, but I am not sure if Lasso is appropriate for time series data. Is there a better way of selecting the best set of variables in my model? I tested many models with different sets of variables but do not feel that is the appropriate way as I feel there is much more combinations of variables that I will not have time to test.</P><P>Thank you.</P> Tue, 26 Apr 2016 16:58:50 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/266452#M1717 tsoukieh 2016-04-26T16:58:50Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/268803#M1736 <P>I found this SGF paper from 2012. You can give it a try.</P> <P><A href="http://support.sas.com/resources/papers/proceedings12/340-2012.pdf" target="_blank">http://support.sas.com/resources/papers/proceedings12/340-2012.pdf</A></P> <P>alex</P> Fri, 06 May 2016 14:27:39 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/268803#M1736 alexchien 2016-05-06T14:27:39Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/268843#M1737 <P>Thanks. I will go through it.</P> Fri, 06 May 2016 16:18:11 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-select-variables-for-VARMAX-model/m-p/268843#M1737 tsoukieh 2016-05-06T16:18:11Z