topic Re: proc varmax in Statistical Procedures

proc varmax

clcl — Wed, 13 Mar 2013 09:29:28 GMT

can anypne please give me an example how to do a dynamic multiplaier in proc varmax ?

thanks

Re: proc varmax

ets_kps — Wed, 13 Mar 2013 17:54:02 GMT

Hi CL,

I spoke with the developer and we determined that the solution to your problem was to use the the PRINT=(IMPULSX=(all)) option on the model statement in VARMAX.

The following code should work for you. Let me know if you need anything else.

data grunfeld;

input year y1 y2 y3 x1 x2 x3;

label y1='Gross Investment GE'

y2='Capital Stock Lagged GE'

y3='Value of Outstanding Shares GE Lagged'

x1='Gross Investment W'

x2='Capital Stock Lagged W'

x3='Value of Outstanding Shares Lagged W';

datalines;

1935 33.1 1170.6 97.8 12.93 191.5 1.8

1936 45.0 2015.8 104.4 25.90 516.0 .8

1937 77.2 2803.3 118.0 35.05 729.0 7.4

1938 44.6 2039.7 156.2 22.89 560.4 18.1

1939 48.1 2256.2 172.6 18.84 519.9 23.5

1940 74.4 2132.2 186.6 28.57 628.5 26.5

1941 113.0 1834.1 220.9 48.51 537.1 36.2

1942 91.9 1588.0 287.8 43.34 561.2 60.8

1943 61.3 1749.4 319.9 37.02 617.2 84.4

1944 56.8 1687.2 321.3 37.81 626.7 91.2

1945 93.6 2007.7 319.6 39.27 737.2 92.4

1946 159.9 2208.3 346.0 53.46 760.5 86.0

1947 147.2 1656.7 456.4 55.56 581.4 111.1

1948 146.3 1604.4 543.4 49.56 662.3 130.6

1949 98.3 1431.8 618.3 32.04 583.8 141.8

1950 93.5 1610.5 647.4 32.24 635.2 136.7

1951 135.2 1819.4 671.3 54.38 723.8 129.7

1952 157.3 2079.7 726.1 71.78 864.1 145.5

1953 179.5 2371.6 800.3 90.08 1193.5 174.8

1954 189.6 2759.9 888.9 68.60 1188.9 213.5

;

proc varmax data=grunfeld ;

model y1 y2 = x1 / p=1 lagmax=3 print=(impulsx=(all) estimates);

run;

Re: proc varmax

clcl — Thu, 14 Mar 2013 09:08:53 GMT

thanks for your reply !

the implus option lets your see the effect of one variable on another , is there any way we can control the change ?

thanks again !

Re: proc varmax

ets_kps — Thu, 14 Mar 2013 19:56:32 GMT

Hi clcl

Well, intially I thought "control the change" meant to "allow the size of the change in exogeneous x to be controlled by the user." That can't be done as part of the estimation and would be post-processing in a datastep.

But then I got to chatting with the developer and he read your question differentlly. He thought you might be asking about a RESTRICT statement. If that is the case, yes you can restrict the size of the effects of the variables with a restrict option.

For instance, in the example above, it you wanted to restrict the contemporaneous response of the exogenous regressor to be zero for each equation, you could use the following syntax,

ods graphics on;
proc varmax data=grunfeld plots=impulse;

model y1 y2 = x1 / p=1 lagmax=3 xlag=2 print=(impulsx=(all) estimates);
restrict XL(0,1,1)=0, XL(0,2,1)=0;

run;

good luck!

Re: proc varmax

clcl — Sun, 17 Mar 2013 07:27:21 GMT

Thanks for you reply,

what you wrote at the begging is what we thought, there is no other way than doing it in a datastep.

thanks again for all your help !