Multivariate Time Series Modeling Using PROC VARMAX

Activity: Talk or presentation typesLecture and oral contribution

Anders Milhøj - Lecturer

wo examples of Vector Autoregressive Moving Average modeling with exogenous variables are given in this presentation. Data is from the real world. One example is about a two-dimensional time series for wages and prices in Denmark that spans more than a hundred years. The other is about the market for agricultural products, especially eggs! These examples give a general overview of the many possibilities offered by PROC VARMAX, such as handling of seasonality, causality testing and Bayesian modeling, and so on.
24 Mar 2014

Event (Conference)

TitleSAS Global Forum 2009
CityWashington, DC
Country/TerritoryUnited States

ID: 124493459