Hello, I need to convert VAR to the VMA  model, 1. I ran VARMAX ods output ParameterEstimates=parameterEstimates covInnovation=cov; proc varmax data=markers; by ric date; model r signed_volumne signed_sqrt_volumne trade_sign/ p=60 method=ls lagmax=60 print=(estimates covpe); * p sets the number of lags in the model, lagmax just controls the printing of output; run; quit; I have a parameter Estimate and covariance matrix. Could you please advise how to create VMA using the parameter Estimate? I am trying to replicate equation in attached file. I got stuck after running VAR. 🙂 ... View more