10-06-2015 12:21 PM
Hello, I want to use vecm model with SAS proc varmax do the forecasting with 3 endogenous variables and 2 exogenous variables. Following codes are my VECM model:
proc VARMAX data=a1 outest=est outstat=stats;
model y1 y2 y3 = x1 x2 / p=3 method=ml xlag=1 dif=(y2(1))
output out=b lead=13;
Right now, my problem is I am not sure how to set up the parameters if the projected value for y3 is determined (very like the endogenous variable becomes exogenous variable)? How can I plug in the pre-determined values of y3 and x1&x2 to the model to forecast y1&y2 only?