I am using to PROC VARMAX to study the effect of Y1 and Y2. In its structural form, Y2 can contemporaneously affect Y1 but not the other the way around).
My code is :
proc varmax data=sample;
by stock;
model Y1 Y2/p=10 method=ls lagmax=10 print=(estimates covpe);
run;quit;
My question is: does the order of Y1 and Y2 matter? What happens if I change it?
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