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itslarajean
Fluorite | Level 6
Hi all,
I have a VAR regression produced out based on my Development data period. I now wish for this VAR model to predict the future values but with some variables to have a fixed value (that variable will not be forecasted by my VAR model).

For example:
My VAR model is below
A = a1A_t-1 + b1B_t-1 + c1C_t-1
B = a2A_t-1 + b2B_t-1 + c2C_t-1
C = a3A_t-1 + b3B_t-1 + c3C_t-1

I want the VAR model to predict A and B but for C I have a set of values I wish to input. How do I do this?

Thank you.
1 REPLY 1
sbxkoenk
SAS Super FREQ

I have moved this topic to the 'SAS Forecasting and Econometrics' board.

 

Hello @itslarajean ,

 

Are you using PROC VARMAX?

 

I think you can use "the missing value trick for scoring a vector ARIMA(X) model".
As described in the below blog for regression ...

The missing value trick for scoring a regression model
By Rick Wicklin on The DO Loop February 17, 2014
https://blogs.sas.com/content/iml/2014/02/17/the-missing-value-trick-for-scoring-a-regression-model....

 

Include training (development as you call it) and future periods in your dataset (the one that you put in the DATA= option on the PROC VARMAX statement).

For future periods, A and B are missing , but C has values.

 

I hope it works for you,

Koen

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