I'd like to provide some closure to the question above. After much experimentation, I discovered that SAS would hang up on even the simplest VMA(1) model. I should clarify that this was a dataset with some 160 observations in 11 variables. Estimating the parameters of a MA model, even of order 1, for a dataset of this size and complexity appears to have overwhelmed my computer's resources. The story does have a happy ending, because the data was described very accurately by a VAR(5) model. Terms of order up through 5 were significant, and there was no remaining significant autocorrelation or partial autocorrelation in the residuals. The lesson seems to be that it is easier to estimate the parameters of an AR model than a MA model, which may explain the prevalence of the former in the economic references I've read. Happily, predictions were accurate, and residual SAC and SPAC non-significant. ... View more