https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Linear-Dynamic-Models/m-p/76587#M350 PROC VARMAX supports Bayesian Vector Autoregressive models (BVAR) and Bayesian Vector Error Correction models (BVECM). <BR /> The following two links to the Getting Started section of the PROC VARMAX documentation provide a brief overview of these models: <BR /> <A href="http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect4.htm" target="_blank">http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect4.htm</A> <BR /> <A href="http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect6.htm" target="_blank">http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect6.htm</A> <BR /> Hope that helps.<BR /> -- Udo Thu, 09 Apr 2009 14:05:52 GMT udo_sas 2009-04-09T14:05:52Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Linear-Dynamic-Models/m-p/76586#M349 I am wondering which procedure can help me to do Linear Dynamic models (West and Harrison 1997 Bayesian Forecasting and Dynamic Models). thanks Sat, 07 Mar 2009 12:58:06 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Linear-Dynamic-Models/m-p/76586#M349 deleted_user 2009-03-07T12:58:06Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Linear-Dynamic-Models/m-p/76587#M350 PROC VARMAX supports Bayesian Vector Autoregressive models (BVAR) and Bayesian Vector Error Correction models (BVECM). <BR /> The following two links to the Getting Started section of the PROC VARMAX documentation provide a brief overview of these models: <BR /> <A href="http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect4.htm" target="_blank">http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect4.htm</A> <BR /> <A href="http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect6.htm" target="_blank">http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect6.htm</A> <BR /> Hope that helps.<BR /> -- Udo Thu, 09 Apr 2009 14:05:52 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Linear-Dynamic-Models/m-p/76587#M350 udo_sas 2009-04-09T14:05:52Z