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VAR Granger Causality- Proc Varmax

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New Contributor
Posts: 3

VAR Granger Causality- Proc Varmax

Hi,

I am trying to do VAR Granger Causality using Proc Varmax by the below code:

  /*--- Causality Testing ---*/

proc varmax data=grunfeld;

model y1-y3 = x1 x2 / p=1 noprint;

causal group1=(x1) group2=(y1-y3); causal group1=(y3) group2=(y1 y2);

run;

My question, how can I choose how many lag or  the value for p- p=????? (I think it is how many lag to test but how shall I choose it)?

My results changed significantly if I change the value for p

Super Contributor
Posts: 336

Re: VAR Granger Causality- Proc Varmax

Hi!

The Akaike (AIC) or the Schwarz-Bayesian (SBC) criterion can be used to determine the proper order of p. It is in the SAS output.

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