Convert VAR to VMA MODEL

aneelG — Mon, 18 Jul 2022 22:46:33 GMT

Hello,

I need to convert VAR to the VMA model,

1. I ran VARMAX

ods output ParameterEstimates=parameterEstimates covInnovation=cov;
proc varmax data=markers; by ric date;
model r signed_volumne signed_sqrt_volumne trade_sign/ p=60 method=ls lagmax=60 print=(estimates covpe);
* p sets the number of lags in the model, lagmax just controls the printing of output;
run; quit;

I have a parameter Estimate and covariance matrix. Could you please advise how to create VMA using the parameter Estimate?

I am trying to replicate equation in attached file. I got stuck after running VAR. 🙂

topic Convert VAR to VMA MODEL in Statistical Procedures

Convert VAR to VMA MODEL