VAR Model to Forecast

itslarajean — Wed, 05 Oct 2022 07:53:07 GMT

Hi all,
I have a VAR regression produced out based on my Development data period. I now wish for this VAR model to predict the future values but with some variables to have a fixed value (that variable will not be forecasted by my VAR model).

For example:
My VAR model is below
A = a1A_t-1 + b1B_t-1 + c1C_t-1
B = a2A_t-1 + b2B_t-1 + c2C_t-1
C = a3A_t-1 + b3B_t-1 + c3C_t-1

I want the VAR model to predict A and B but for C I have a set of values I wish to input. How do I do this?

Thank you.

Re: VAR Model to Forecast

sbxkoenk — Thu, 06 Oct 2022 08:53:07 GMT

I have moved this topic to the 'SAS Forecasting and Econometrics' board.

Hello @itslarajean ,

Are you using PROC VARMAX?

I think you can use "the missing value trick for scoring a vector ARIMA(X) model".
As described in the below blog for regression ...

The missing value trick for scoring a regression model
By Rick Wicklin on The DO Loop February 17, 2014
https://blogs.sas.com/content/iml/2014/02/17/the-missing-value-trick-for-scoring-a-regression-model.html

Include training (development as you call it) and future periods in your dataset (the one that you put in the DATA= option on the PROC VARMAX statement).

For future periods, A and B are missing , but C has values.

I hope it works for you,

Koen

topic VAR Model to Forecast in SAS Forecasting and Econometrics

VAR Model to Forecast

Re: VAR Model to Forecast