Panel VAR

Tunfafi — Fri, 02 Jun 2023 17:30:33 GMT

Hello,

I am new to SAS.

Please How can I estimate PANEL VAR with SAS? The procedure proc panel does it support var analysis? or does PROC VARMAX perform analysis for panel data? or do you have any general code to estimate panel vector auto regressive model?

Thanks for any advice

Re: Panel VAR

sbxkoenk — Fri, 02 Jun 2023 21:00:21 GMT

@Tunfafi wrote:

The procedure proc panel does it support var analysis?

Without looking at the doc (the documentation might contradict me) ... I do not think so!

There's also PROC CPANEL in SAS Econometrics, but it won't help you out either w.r.t. panel VAR.

@Tunfafi wrote:

or does PROC VARMAX perform analysis for panel data?

Without looking at the doc (the documentation might contradict me) ... I do not think so!

@Tunfafi wrote:

or do you have any general code to estimate panel vector auto regressive model?

You could try to formulate your model as a State Space Model (PROC SSM in SAS/ETS or PROC CSSM in SAS Econometrics)

See :

Estimating a VAR model with panel data
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-a-VAR-model-with-panel-data/td-p/334803
Performance Improvements in PROC CSSM for Scalable State Space Modeling
Started ‎09-08-2022 | Modified ‎09-08-2022 | Views 215
https://communities.sas.com/t5/Research-and-Science-from-SAS/Performance-Improvements-in-PROC-CSSM-for-Scalable-State-Space/ta-p/832317

Koen

Re: Panel VAR

Tunfafi — Thu, 08 Jun 2023 19:43:23 GMT

Thanks a lot for the quick feedback.
Then I will check-out these documentations

topic Re: Panel VAR in SAS Forecasting and Econometrics

Panel VAR

Re: Panel VAR

Re: Panel VAR