topic Re: Lag selection to VAR model in SAS Procedures

Lag selection to VAR model

charlotte — Fri, 31 Jul 2009 12:37:41 GMT

Hi,

Im working om my thesis in SAS 9.1 and have encountered a problem I hope you can help me with.

I have two variables CDS and EQ and need to construct a VAR model. The numbers of lags in the model need to be selected by the minimum AIC value but to do this I need to get the AIC values of all the possible lag combinations.

Normally is done by this code I guess

proc statespace data=sasuser.index2 out=out lead=10;
var CDS(1) equity(1);
id date;
run;

but the maximum limit of lags is 10 and I need to test about 200 or so...At least more than 10

I really hope you can help!

Thanks
~Charlotte

Re: Lag selection to VAR model

Doc_Duke — Fri, 31 Jul 2009 14:11:40 GMT

Charlotte,

Check the documentation. I think that you just need to set the LAGMAX parameter to a greater number.

Doc Muhlbaier
Duke

Re: Lag selection to VAR model

charlotte — Fri, 31 Jul 2009 14:25:56 GMT

Hi Doc

The problem is that the proc statespace cannot calculate for more than 10 lags, even though I set "lead" to 20 it only calculates for 10 (also what the documentation says), so I need some kind of way to avoid this limit or another method for doing the same thing.

But thanks anyway