12-05-2017 07:20 PM
I am trying to build a VAR model using proc varmax. My current process involves using a training dataset to build the model. I want to look at forecasts from the VAR model with each new month of data coming in. E.g. if the model is built on data between 1990 - 2016, I am interested to see how model forecasts changes as we add new months of data (e.g. 2017). Is there a way to use coefficients from varmax procedure to fit new data after model was built on a training dataset without manually specifying the functions and then using loops and macros to run through the process?