I am interested to know the criteria SAS VA uses to identify the significant underlying factors that contribute to a forecast. I have not seen it mentioned in any of the documentation I have read online.
Thanks Sam. I used VA in my research and I am currently writing a paper where I need to mention the criteria (in general terms) for choosing an underlying factor as significant. I just want to know the rationale for purpose of explanation in my paper. For example, is it based on correlation with the dependent variable, etc.
My understanding is that VA's forecasting uses much of the same code as the HPFDIAGNOSE procedure to select a model. The underlying factors are considered as inputs (see the INPUT option).
I don't understand the nuts and bolts of forecasting enough to be able to give you a better answer.
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