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How to select variables for VARMAX model?

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New Contributor
Posts: 3

How to select variables for VARMAX model?

I have created a performance score and want to check which of my long list of variables is a leading indicator of this performance score. How do I select the variable set that I should use in the model?

Should I use GLMSELECT, but I am not sure if Lasso is appropriate for time series data. Is there a better way of selecting the best set of variables in my model? I tested many models with different sets of variables but do not feel that is the appropriate way as I feel there is much more combinations of variables that I will not have time to test.

Thank you.

SAS Super FREQ
Posts: 93

Re: How to select variables for VARMAX model?

I found this SGF paper from 2012. You can give it a try.

http://support.sas.com/resources/papers/proceedings12/340-2012.pdf

alex

New Contributor
Posts: 3

Re: How to select variables for VARMAX model?

Posted in reply to alexchien

Thanks. I will go through it.

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