Hi @niam ,
Yes, your idea of including your indicator variable, Z, in the equation for Y1 along with your other input variable, X, in your Y1 and Y2 equations is a reasonable approach. For example, you can specify the following MODEL statement in PROC VARMAX, where <options> is your list of desired options:
model y1=x z , y2=x / <options> ;
For more details on the MODEL statement syntax when a different set of input variables is used in each equation, please see the following link:
https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_varmax_syntax12.htm&docsetVersion=15.1&locale=en
I hope this helps!
DW
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