Im working om my thesis in SAS 9.1 and have encountered a problem I hope you can help me with.
I have two variables CDS and EQ and need to construct a VAR model. The numbers of lags in the model need to be selected by the minimum AIC value but to do this I need to get the AIC values of all the possible lag combinations.
Normally is done by this code I guess
proc statespace data=sasuser.index2 out=out lead=10;
var CDS(1) equity(1);
but the maximum limit of lags is 10 and I need to test about 200 or so...At least more than 10
The problem is that the proc statespace cannot calculate for more than 10 lags, even though I set "lead" to 20 it only calculates for 10 (also what the documentation says), so I need some kind of way to avoid this limit or another method for doing the same thing.