PROC VARMAX: order of variables in MODEL statement

somebody — Thu, 28 Mar 2019 06:42:08 GMT

I am using to PROC VARMAX to study the effect of Y1 and Y2. In its structural form, Y2 can contemporaneously affect Y1 but not the other the way around).

My code is :

proc varmax data=sample;
	by stock;
	model Y1 Y2/p=10 method=ls lagmax=10 print=(estimates covpe);
run;quit;

My question is: does the order of Y1 and Y2 matter? What happens if I change it?

Re: PROC VARMAX: order of variables in MODEL statement

Kurt_Bremser — Thu, 28 Mar 2019 06:57:25 GMT

Maxim 4?

topic PROC VARMAX: order of variables in MODEL statement in SAS Procedures

PROC VARMAX: order of variables in MODEL statement

Re: PROC VARMAX: order of variables in MODEL statement