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charlotte
‎09-01-2015
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Re: Lag selection to VAR model

by Calcite | Level 5 in SAS Procedures
‎07-31-2009 10:25 AM
‎07-31-2009 10:25 AM
Hi Doc The problem is that the proc statespace cannot calculate for more than 10 lags, even though I set "lead" to 20 it only calculates for 10 (also what the documentation says), so I need some kind of way to avoid this limit or another method for doing the same thing. But thanks anyway ... View more

Lag selection to VAR model

by Calcite | Level 5 in SAS Procedures
‎07-31-2009 08:37 AM
‎07-31-2009 08:37 AM
Hi, Im working om my thesis in SAS 9.1 and have encountered a problem I hope you can help me with. I have two variables CDS and EQ and need to construct a VAR model. The numbers of lags in the model need to be selected by the minimum AIC value but to do this I need to get the AIC values of all the possible lag combinations. Normally is done by this code I guess proc statespace data=sasuser.index2 out=out lead=10; var CDS(1) equity(1); id date; run; but the maximum limit of lags is 10 and I need to test about 200 or so...At least more than 10 I really hope you can help! Thanks ~Charlotte ... View more
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