Hi I wonder if anyone could check my coding of the following models. The models are used to study the causal relationships between two time series, x and y. Only one of the two time series, x, follows an MA(1) process and needs prewhitening.
The first model shown below regresses y on four input series, the concurrent value and 3 lags of the prewhitened series x:
My concern is that in the SAS documentation, it suggests that the above procedures will filter both x and y by the MA(1) model. As I need to regress the unfiltered y series on the prewhitened x series (concurrent plus 3 lags), I am not sure if this requirement corresponds to the 2nd estimate statement.
To complete the study on causal relationship, I also need to swap the input and response series as follows: