Extremely slow output processing varmax

SAScph — Sat, 11 Apr 2020 08:09:51 GMT

Im trying to detect the right lags in my ARMAX model, but it takes up to 10 minutes to run a model with p=7 q=7 lags. Why does it take so long time?

With p=14 q=14 it takes +20 minutes. There must be something wrong.

The code:

*ARMAX model;
proc varmax data=output plots=all;
model lvisitors =rain sunshine averagetemp
dapril dmay djune djuly doctober dnovember ddecember
dfriday dsaturday dsunday
d_24Dec2016 d_24Dec2017 d_24Dec2014 d_24Dec2015 d_24Dec2019 d_24Dec2018 d_24Sep2012 d_06Jul2015
/p=7 q=7
method=ls noint dftest minic=(type=aic);
nloptions maxiter=2000 maxfunc=20000;
*garch p=1 form=ccc outht=outht;
*restrict XL(0,1,4)=0, MA(12,1,1)=0, MA(13,1,1)=0, MA(14,1,1);
run;

Re: Extremely slow output processing varmax

Steve1964 — Sat, 11 Apr 2020 11:45:04 GMT

try to drop the option ‘plots=all’ in proc varmar statement.

topic Extremely slow output processing varmax in SAS Forecasting and Econometrics

Extremely slow output processing varmax

Re: Extremely slow output processing varmax