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modeling on vector autoregressive model

Hi, I am looking for an apporpriate program to be able to model the
time series data with good flexibility. How does SAS compare with
STATA in programming VAR model in this perspective? Is it easier to
create more personalized models? Thanks.
0
4/6/2009 5:35:40 AM
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Re: modeling on vector autoregressive model
take a look at proc varmax. On Mon, Apr 6, 2009 at 1:35 AM, Mephy <whumeipeng@gmail.com> wrote: > Hi, I am looking for an apporpriate program to be able to model the > time series data with good flexibility. How does SAS compare with > STATA in programming VAR model in this perspective? Is it easier to > create more personalized models? Thanks. > -- ============================== WenSui Liu Acquisition Risk, Chase Blog : statcompute.spaces.live.com Tough Times Never Last. But Tough People Do. - Robert Schuller ============================== ...

Re: modeling on vector autoregressive model #3
Vector Autoregression (VAR) dates back to a time when the Regression Analysis of Time Series (RATS) statistical package first appeared. Tom Doan, now at Northwestern University, developed much of RATS. I wrote many statistical programs in the RATS scripting language for a Pentagon project. A company named Estima (associated with Doan) now distributes RATS (and CATS). You may find it interesting to see how the original implementation of VAR has evolved. (disclaimer: I have no financial or other connection to Estima.) S -----Original Message----- From: SAS(r) Discussion [mailto:SAS-L@LISTSERV.UGA.EDU] On Behalf Of Mephy Sent: Monday, April 06, 2009 1:36 AM To: SAS-L@LISTSERV.UGA.EDU Subject: modeling on vector autoregressive model Hi, I am looking for an apporpriate program to be able to model the time series data with good flexibility. How does SAS compare with STATA in programming VAR model in this perspective? Is it easier to create more personalized models? Thanks. ...

Re: modeling on vector autoregressive model #2
I recently did a project using Proc Varmax, i liked it, but there are some limitations while using proc varmax, if you want to use non-linear optimization. SAS documentation prescribes certain non-linear techniques for certain type of datasets, and that dint really work for us, for what we were trying to do. I know for sure R has a similar package that can do Proc Varmax like procedures. good luck - R There is one package in R, which can do similar things like Varmax, you may get mor On Mon, Apr 6, 2009 at 1:3 8 AM, Wensui Liu <liuwensui@gmail.com> wrote:what > take a look at proc varmax. > > On Mon, Apr 6, 2009 at 1:35 AM, Mephatioy <whumeipeng@gmail.com> wrote: > > Hi, I am looking for an apporpriate program to be able to model the > > time series data with good flexibility. How does SAS compare with > > STATA in programming VAR model in this perspective? Is it easier to > > create more personalized models? Thanks. > > > > > > -- > ============================== > WenSui Liu > Acquisition Risk, Chase > Blog : statcompute.spaces.live.com > > Tough Times Never Last. But Tough People Do. - Robert Schuller > ============================== > ...

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