how coefficients are estimated in VAR model in sas? why proc varmax output and proc reg outputs are same?
Please check the following programs:
/*Program-1: VARMAX PROCEDURE*/
/*Estimate VAR(1) model with all 3 variables (Trivariate)*/
proc varmax data=sashelp.class ;
model Age Weight Height/p=1 ;
run;
/*PROGRAM2: REG PROCEDURE*/
/*Let's replicate this using PROC REG with newly created dataset with manual lags*/
/*New dataset*/
data lag_data;
set sashelp.class;
Age_l=lag(Age);
Weight_l=lag(Weight);
Height_l=lag(Height);
run;
/*Use PROC REG: gives same result as above*/
proc reg data=lag_data;
model Age=Age_l Weight_l Height_l;
run;
Concern: Both are giving same output. This should not happen since VAR uses multivariate OLS not conventional OLS used in Regression. If not so the what is use of VAR?
