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Tunfafi
Calcite | Level 5

Hello,

I am new to SAS.

Please How can I estimate PANEL VAR with SAS? The procedure proc panel does it support var analysis? or does PROC VARMAX perform analysis for panel data? or do you have any general  code to estimate panel vector auto regressive model? Proc varmax / panel data 

Thanks for any advice

 

1 ACCEPTED SOLUTION

Accepted Solutions
sbxkoenk
SAS Super FREQ

@Tunfafi wrote:

The procedure proc panel does it support var analysis?


Without looking at the doc (the documentation might contradict me) ... I do not think so!

There's also PROC CPANEL in SAS Econometrics, but it won't help you out either w.r.t. panel VAR.

 


@Tunfafi wrote:

or does PROC VARMAX perform analysis for panel data?


Without looking at the doc (the documentation might contradict me) ... I do not think so!

 


@Tunfafi wrote:

or do you have any general  code to estimate panel vector auto regressive model?


You could try to formulate your model as a State Space Model (PROC SSM in SAS/ETS or PROC CSSM in SAS Econometrics)

See :

 

Koen

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2 REPLIES 2
sbxkoenk
SAS Super FREQ

@Tunfafi wrote:

The procedure proc panel does it support var analysis?


Without looking at the doc (the documentation might contradict me) ... I do not think so!

There's also PROC CPANEL in SAS Econometrics, but it won't help you out either w.r.t. panel VAR.

 


@Tunfafi wrote:

or does PROC VARMAX perform analysis for panel data?


Without looking at the doc (the documentation might contradict me) ... I do not think so!

 


@Tunfafi wrote:

or do you have any general  code to estimate panel vector auto regressive model?


You could try to formulate your model as a State Space Model (PROC SSM in SAS/ETS or PROC CSSM in SAS Econometrics)

See :

 

Koen

Tunfafi
Calcite | Level 5
Thanks a lot for the quick feedback.
Then I will check-out these documentations

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