03-09-2017 02:34 PM
I would like to use PROC VARMAX in order to create a conditional covariance matrix using the DCC model , which is available in more recent versions of SAS. However, this parameter is not available on the version of SAS that I'm running.
Here is the link to 13.1 support for DCC. ..
Does anyone have a workaround ?
03-09-2017 03:16 PM
Not at all familiar with DCC models but there appear to be some R packages. If you have IML you can interface with these packages. Just keep in mind R packages aree like the 'wild wes' and you need to check out the author?
MTS - R
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