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SAScph
Fluorite | Level 6

Hi

 

I want to know what the difference is when inserting variables in proc reg and then forecast the residuals with VARMAX 

and

inserting the significant variables from proc reg to the VARMAX modelling.

 

In code:

Proc reg data=x printall;
dependent_variable=exogenous_variable1 exogenous_variable2 ... exogenous_variablep
white vif tol dw dwprob selection=b slentry=0.05;
output out=xforecast Rstudent=Rstudent student=student covratio=covratio h=h predicted=pred residual=residual;

Proc varmax data=xforecast
model residual/
p=7 q=2
method=ls dftest minic=(type=aic) print=(roots);
nloptions;
garch p=1 q=1 form=ccc;
output out=forecast1 lead=21;
run;

Or with only VARMAX:

proc varmax data=xforecast printall;
dependent_variable=exogenous_variable1 exogenous_variable2 ... exogenous_variablep/
p=7 q=2 method=ls dftest minic=(type=aic) print=(roots);
nloptions;
garch p=1 q=1 form=ccc;
output out=forecast1 lead=21;

With only running VARMAX it is also not possible to generate a forecast which i don't understand. The error code:

 WARNING: The value of LEAD=21 in OUTPUT statement. There are only 0 future independent observations. The value of LEAD will take 
          the minimum of two values.

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