Proc VARMAX

Fery123 — Wed, 03 Jan 2018 17:51:57 GMT

I find a problem when I want to model
vector autoregressive exogenous, instantly the message "The lag 0 covariance matrix is singular." and The model is not full rank. The VARMAX procedure halts further steps

data finance;
input y1 y2 y3 y4;
cards;
2.22 3.21 2.22 1.43
1.32 2.45 2.31 2.32
2.22 3.21 2.22 1.43
1.32 2.45 2.31 2.32
2.22 3.21 2.22 1.43
:
1.32 2.81 2.31 2.56
2.82 3.21 2.22 1.43
;
run;
proc varmax data = finance;
model y1 y2 y3 = y4 / p = 1 xlag = 1 nocurrentx noint;
run;

Re: Proc VARMAX

stat_sas — Wed, 03 Jan 2018 19:28:52 GMT

Hi,

Varmax's parameter estimation is based on least squares which requires inverse of a matrix in its calculation. If some of the variables are highly or perfectly correlated then matrix will not invert and you will get this error.

topic Proc VARMAX in SAS Forecasting and Econometrics

Proc VARMAX

Re: Proc VARMAX