proc varmax: conditional maximum likelihood estimation

tugasakhir — Sun, 10 May 2026 05:57:20 GMT

I am curently using method=cml in proc varmax. Referring to Reinsel’s "Elements of Multivariate Time Series Analysis," I would like to clarify how SAS handles the initial observations for the conditional likelihood.

For a model with AR order p, does SAS treat the first p observations (y_1, y_2,.., y_p) as fixed values, effectively starting the estimation and the calculation of residuals from t = p + 1?

Re: proc varmax: conditional maximum likelihood estimation

SASCom1 — Tue, 12 May 2026 22:28:43 GMT

Yes your understanding of method = cml for VAR(p) model estimation is correct. The first p observations are treated as fixed values(for initializing lags), and the estimation and calculation of residuals effectively start from t = p+1.

I hope this helps.

topic proc varmax: conditional maximum likelihood estimation in SAS Forecasting and Econometrics

proc varmax: conditional maximum likelihood estimation

Re: proc varmax: conditional maximum likelihood estimation