Bayesian Vector Autoregression Models in JMPI received a question from a customer asking if it is possible to build these types of models in JMP. Does anyone know the answer to this? Is this a type of time series model?
Re: Bayesian Vector Autoregression Models in JMPYes, VAR is a time series model for multivariate series. JMP's ARIMA, Transfer Function and new TSF fit univariate time series only. Currently JMP cannot forecast multivariate series. One might think of SEM for dependent data , but its focus is hypothesis testing versus VAR is forecasting.
For more information check out SAS's Proc VARMAX https://support.sas.com/rnd/app/ets/procedures/ets_varmax.html.
