Proc VARMAX

Golf — Thu, 19 Mar 2020 04:16:39 GMT

Hello,

I have 3 variables : LM1, LIP, TB3 and found that they are I(1) with nocointegrating vector.

Hence I plan to use the first difference of these variables : dLM1 dLIP dTB3 in VAR with optimal lag of 3.

I use proc VARMAX for dLM1 dLIP dTB3 with p = 3.

How can I forecast the original variables: LM1 LIP TB3 (not in first difference) based on the results the above procedure?

Thank you

Re: Proc VARMAX

Golf — Thu, 19 Mar 2020 09:32:59 GMT

I just got a solution.
proc varmax data=Example_var plots= forecasts ;
model LM1 LIP TB3/ p=3 dif(LM1(1) LIP(1) TB3(1));
output Back=0 Lead=12 out = Example_var_Forecast2;
run;

topic Re: Proc VARMAX in SAS Forecasting and Econometrics

Proc VARMAX

Re: Proc VARMAX