I am interested in analyzing the generalized impulse response functions with Proc VARMAX. However, I am not sure how to program this with the Proc VAXMAX since none of the examples outlined in SAS indicated 'generalized'. I was wondering if someone would kindly help me with the program. Thanks.
If by "generalized impulse response functions" you are referring to the methodology proposed by Pesaran and Shin (1998), then this functionality is under consideration for implementation in PROC VARMAX in a future release of the software. If the Pesaran and Shin reference is not the correct reference which describes the methodology of interest to you, then please provide additional details regarding your desired analysis.
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.