PROC VARMAX model is not full rank

[itslarajean]

Dear All,

I am attempting to run a VAR model with the PROC VARMAX function with my dataset. My data are all modulus transformed and have two dummy variables and I want to output 1-4 lags. I noticed that some failed at the second lag onwards with the error message: "The model is not full rank. The VARMAX procedure stopped processing further steps." even without the dummy variables.

For example, I have quarterly data from March 2007 to December 2021 and I have 2 variables (including dependent without dummy) I will be able to get output up to 4 lags, but after including the two dummies I can only get 1 lag VAR model with the above error message for the remaining lags.

The second dummy is the subset of the first dummy, i.e. dummy #2 can be 0 or 1 when dummy #1 is 1

Appreciate any kind assistance, thank you.

[Ksharp]

Plz post it at Forecasting Forum . This PROC is under SAS/ETS.

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics