topic Generalized Impulse Response Functions using Proc VARMAX in SAS Forecasting and Econometrics

Generalized Impulse Response Functions using Proc VARMAX

mmansaray — Fri, 16 Sep 2016 19:13:54 GMT

I am interested in analyzing the generalized impulse response functions with Proc VARMAX. However, I am not sure how to program this with the Proc VAXMAX since none of the examples outlined in SAS indicated 'generalized'. I was wondering if someone would kindly help me with the program. Thanks.

Mahmud Mansaray

Re: Generalized Impulse Response Functions using Proc VARMAX

dw_sas — Fri, 23 Sep 2016 18:41:33 GMT

Hello Mahmud,

If by "generalized impulse response functions" you are referring to the methodology proposed by Pesaran and Shin (1998), then this functionality is under consideration for implementation in PROC VARMAX in a future release of the software. If the Pesaran and Shin reference is not the correct reference which describes the methodology of interest to you, then please provide additional details regarding your desired analysis.

I hope this helps!

Re: Generalized Impulse Response Functions using Proc VARMAX

mmansaray — Fri, 23 Sep 2016 19:50:34 GMT

Indeed, I was referring to the methodology proposed by Pesaran and Shin (1998). Well in the absence of this methodology, which you rightly explained, do you think this alternative would work?

proc varmax data=grunfeld plot=impulse;
   model y1-y3 = x1 x2 / p=1 lagmax=5
                         printform=univariate
                         print=(impulsx=(all) estimates);