Linear Dynamic Models

[deleted_user]

I am wondering which procedure can help me to do Linear Dynamic models (West and Harrison 1997 Bayesian Forecasting and Dynamic Models). thanks

[udo_sas]

PROC VARMAX supports Bayesian Vector Autoregressive models (BVAR) and Bayesian Vector Error Correction models (BVECM).
The following two links to the Getting Started section of the PROC VARMAX documentation provide a brief overview of these models:
http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect4.htm
http://support.sas.com/onlinedoc/913/getDoc/en/etsug.hlp/varmax_sect6.htm
Hope that helps.
-- Udo