https://communities.sas.com/t5/SAS-Programming/PROC-VARMAX-model-is-not-full-rank/m-p/836849#M330877 Dear All,<BR /><BR />I am attempting to run a VAR model with the PROC VARMAX function with my dataset. My data are all modulus transformed and have two dummy variables and I want to output 1-4 lags. I noticed that some failed at the second lag onwards with the error message: "The model is not full rank. The VARMAX procedure stopped processing further steps." even without the dummy variables.<BR /><BR />For example, I have quarterly data from March 2007 to December 2021 and I have 2 variables (including dependent without dummy) I will be able to get output up to 4 lags, but after including the two dummies I can only get 1 lag VAR model with the above error message for the remaining lags.<BR /><BR />The second dummy is the subset of the first dummy, i.e. dummy #2 can be 0 or 1 when dummy #1 is 1<BR /><BR />Appreciate any kind assistance, thank you. Wed, 05 Oct 2022 04:29:49 GMT itslarajean 2022-10-05T04:29:49Z https://communities.sas.com/t5/SAS-Programming/PROC-VARMAX-model-is-not-full-rank/m-p/836849#M330877 Dear All,<BR /><BR />I am attempting to run a VAR model with the PROC VARMAX function with my dataset. My data are all modulus transformed and have two dummy variables and I want to output 1-4 lags. I noticed that some failed at the second lag onwards with the error message: "The model is not full rank. The VARMAX procedure stopped processing further steps." even without the dummy variables.<BR /><BR />For example, I have quarterly data from March 2007 to December 2021 and I have 2 variables (including dependent without dummy) I will be able to get output up to 4 lags, but after including the two dummies I can only get 1 lag VAR model with the above error message for the remaining lags.<BR /><BR />The second dummy is the subset of the first dummy, i.e. dummy #2 can be 0 or 1 when dummy #1 is 1<BR /><BR />Appreciate any kind assistance, thank you. Wed, 05 Oct 2022 04:29:49 GMT https://communities.sas.com/t5/SAS-Programming/PROC-VARMAX-model-is-not-full-rank/m-p/836849#M330877 itslarajean 2022-10-05T04:29:49Z https://communities.sas.com/t5/SAS-Programming/PROC-VARMAX-model-is-not-full-rank/m-p/836905#M330911 Plz post it at Forecasting Forum . This PROC is under SAS/ETS.<BR /><BR /><A href="https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics" target="_blank">https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics</A> Wed, 05 Oct 2022 10:14:47 GMT https://communities.sas.com/t5/SAS-Programming/PROC-VARMAX-model-is-not-full-rank/m-p/836905#M330911 Ksharp 2022-10-05T10:14:47Z