proc varmax: conditional maximum likelihood estimation

[tugasakhir]

I am curently using method=cml in proc varmax. Referring to Reinsel’s "Elements of Multivariate Time Series Analysis," I would like to clarify how SAS handles the initial observations for the conditional likelihood.

For a model with AR order p, does SAS treat the first p observations (y_1, y_2,.., y_p) as fixed values, effectively starting the estimation and the calculation of residuals from t = p + 1?