Hi everyone,
I'm looking for help with the correct code to run the following model using "proc ARIMA":
dy = a0 + a1*trend + a2*coint(-1) + b1*dy(-1) + b2*dy(-2) +....+b5*dy(-5) + c1*dx(-1) + c2*dx(-2) + .... +c5*dx(-5) +error
In this model, dy is the first difference of y, dy(-1) represents the 1 period lag of dy, and dy(-5) represents the 5 period lag of dy. I generated the dy and dx variables from dif(y) and dif(x), respectively.
Additionally, I'm wondering if the backward selection can be applied to the lag of dy(-1) through dy(-5), dx(-1) through dx(-5).
Thank you for your help.
I moved this post to a more appropriate board:
SAS Support Communities > Analytics and Statistics > SAS Forecasting and Econometrics
What is coint(-1)?
An element from a cointegrating vector (cointegration)?
BR, Koen
@sbxkoenk Yes It is.
Hello,
I would first test for cointegration using PROC VARMAX.
VARMAX = Vector AutoRegression Moving-Average with EXogenous Regressors
Examples of usage:
model y1 y2 / p=2 cointtest=(johansen=(iorder=2 normalize=y1));
model y1 y2 / p=2 cointtest=(sw siglevel=0.1);
model y1 y2 / p=2 cointtest=(sw=(type=kernel lag=3));
BR, Koen
@sbxkoenk Thank You.
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