How to select variables for VARMAX model?

[tsoukieh]

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.

[alexchien]

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

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

alex

[tsoukieh]

Thanks. I will go through it.