Hi
I have some issues with selecting and finding the correct model for my time series data. I use VARMAX to explain visitors in a company with 5 different weather variables. The model makes automatic selection with maximum p=5 and q=5 and recommends to use a ARMAX(5,5,0). Although when I set these values up to a higher amount a different model comes up (p=10 q=10 gives ARMAX(10,8,0)). The selection is made with AIC criterion. But how can make sure that i am choosing the correct model with this procedure in sas? Which values should i take into consideration when picking manually? If manual selection can be avoided then how should the p= and q= values be set?
