econometrics - VARMAX

Question

Hello,

I have the following question from a customer.

He is doing study in econometric. He would like to calibrate a VAR Model with error correction (Var ECM). And he needs to perform some statistics. He finds that easy with proc SAS VARMAX.

STEP1: Panel Identification Test (homogeneity vs heterogeneity of individual of panel

STEP2: Unit root tests in panel data

STEP3: Test for cointegration

STEP4:  Identification and estimation of panel data model

STEP5: Causality tests

I have no knowledge in econometrics. He sounds that varmax is related to do a vector autoregressive process. I'm not sure that we can do this kind of analysis in JMP/JMP Pro.

Any suggestions?

Thank for your help,

Florence

martindemel · Answer

I also don't believe JMP will go into this direction as it would not end with VARMAX. You would Need also GARCH and many other types of functionalities which will mainly overlap with SAS functionality and their domain financial services. To create there something good would mean a huge effort which is covered by so to say inhouse funcitonality build by SAS

flo_kussener · Answer

Hello Thank a lot for your quick reply which confirms my feeling. Have a nice day, Florence De : JMP User Community Administrator > Répondre à : "jive-179811465-hwqt-2-4ljz@community.jmp.com" > Date : mardi 10 février 2015 17:51 À : Florence Kussener > Objet : Re: - econometrics - VARMAX JMP User Community econometrics - VARMAX reply from jiancao in JMP SE Community - View the full discussion

jiancao · Answer

Florence,

JMP or JMP Pro doesn't have anything for modeling multivariate time series data with exogenous regressors as you described. Our Time Series handles univariate time series data, and mixed models are only appropriate for panel data where N (# of cross-section units) >>T (length of time periods).

VARMAX is a fairly advanced and modern econometric time series method and is supported by SAS/ETS module.  I am not sure if JMP would consider to add this capability in the near future. So, if your customer has access to SAS/ETS, they can take advantage of the JMP-SAS integration for EDA and visualizing SAS outputs in JMP.