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I want to know what the difference is when inserting variables in proc reg and then forecast the residuals with VARMAX

and

inserting the significant variables from proc reg to the VARMAX modelling.

In code:

Proc reg data=x printall;
dependent_variable=exogenous_variable1 exogenous_variable2 ... exogenous_variablep
white vif tol dw dwprob selection=b slentry=0.05;
output out=xforecast Rstudent=Rstudent student=student covratio=covratio h=h predicted=pred residual=residual;

Proc varmax data=xforecast
model residual/
p=7 q=2
method=ls dftest minic=(type=aic) print=(roots);
nloptions;
garch p=1 q=1 form=ccc;
output out=forecast1 lead=21;
run;

Or with only VARMAX:

proc varmax data=xforecast printall;
dependent_variable=exogenous_variable1 exogenous_variable2 ... exogenous_variablep/
p=7 q=2 method=ls dftest minic=(type=aic) print=(roots); 
nloptions; 
garch p=1 q=1 form=ccc;
output out=forecast1 lead=21;

With only running VARMAX it is also not possible to generate a forecast which i don't understand. The error code:

 WARNING: The value of LEAD=21 in OUTPUT statement. There are only 0 future independent observations. The value of LEAD will take 
          the minimum of two values.
Forecaster
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  • That's not an error, it's a warning. You should still get results, but they'd be questionable. It's saying whatever variables you're using for prediction aren't available for predictions. – Reeza Apr 15 '20 at 20:56
  • You will need to extend out your independent variables. This would mean you will need to forecast your independent variables. Either that, or you will need to identify if your independents have a lead time over your dependent so that they can be used for prediction. Love me some VARMAX - glad to see someone doing it :) – Stu Sztukowski Apr 15 '20 at 21:03
  • Thank you for the replies! So how can i extend them? I do not now exactly how to do it with sas code. – Forecaster Apr 16 '20 at 07:25

0 Answers0