Programming the statistical procedures from SAS

forecasting with proc varmax?

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Frequent Contributor
Posts: 105

forecasting with proc varmax?

I am currently having issues with forecasting out future forecasts with differencing in the model with proc varmax. Varmax is identifying the changes in the independent variables (+100 shock) properly when there is no differening in the variables, however in the differenced environment, the first forecasted value is exacty the value of the estimated beta coefficient in the model, and then the rest of the forecasted values are 0.

Is therea way to correctly calcualte & plot future forecasts in a differenced environment with proc varmax?

(example code of what I am attempting to do):

proc varmax data=forecast_dataset plots=ALL;

     model retvar = ratevar_shock100 / noint dif=(retvar(1) ratevar_shock100(1));

     output lead=24 back=12 out=forecasts;

run;

All values in data set are populated up until last 12 rows 'retvar' has missing values which are to be forecasted.

Thank you for your time and any suggestions.

-Ryan

Respected Advisor
Posts: 2,655

Re: forecasting with proc varmax?

I think has addressed this in the Forecasting forum.  You might want to try posing this question over there as well.

Steve Denham

Frequent Contributor
Posts: 105

Re: forecasting with proc varmax?

Ok I'll try posting elsewhere thanks

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