Panel VAR

[Tunfafi]

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

[sbxkoenk · Accepted solution]

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@Tunfafi wrote:

The procedure proc panel does it support var analysis?

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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.

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@Tunfafi wrote:

or does PROC VARMAX perform analysis for panel data?

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

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@Tunfafi wrote:

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

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

See :

• Estimating a VAR model with panel data
  https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimating-a-VAR-model-with-panel-da...
• Performance Improvements in PROC CSSM for Scalable State Space Modeling
  Started ‎09-08-2022 | Modified ‎09-08-2022 | Views 215
  https://communities.sas.com/t5/Research-and-Science-from-SAS/Performance-Improvements-in-PROC-CSSM-f...

Koen

[Tunfafi]

Thanks a lot for the quick feedback.
Then I will check-out these documentations