Help using Base SAS procedures

why proc varmax output and proc reg outputs are same?

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Occasional Contributor
Posts: 5

why proc varmax output and proc reg outputs are same?

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?

SAS Employee
Posts: 340

Re: why proc varmax output and proc reg outputs are same?

Parameter estimates should be the same, standard errors and p-values should be different.
Please someone correct me if I’m wrong.
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