Help using Base SAS procedures

Proc Varmax: Cointegration and Error Correction Term

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Proc Varmax: Cointegration and Error Correction Term

Dear all:

 

I am interested in using the Proc Varmax function in SAS for the Cointegrating tests and vector error error correction models :

 

However, I would like to get some advice as to the steps that I need to follow for the model specification in a simple manner.

 

For Cointegration tests:

  • i guess the first step is the Augment Dickey Fuller test. What are the steps that I need to use from beginning to the end ?
  • What is the right procedure for determinging the lag order specification? Is there a tool in SAS that makes the software recommend « an automatic lag lenght selection ?
  • Moreover, in terms of deterministic test assumption of test, how can I determine which model to use (in terms of selecting «  no intercept » ; trend ; « trend and intercept »).What is the most optimal way to determine this ?

 

Error Correction Model

 

  • I need to obtain the coefficient for the error correction term. This is a figure that I expect it to be between -1 and 0. Where should I look to get this single figure in the results. Where exactly should I look at. Obviously, this is included in the alpha estimates of the model ? Which element of the matrix is important.

 

  • A second question is that I saw that the model sometimes normalizes the beta estimates. Does this normalization have any impact on the beta estimate ?

 

I thank you in advance for your support

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