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Multivariate Time Series: Recent Additions to the VARMAX Procedure

Friday, Sept. 29 l 11 a.m. – Noon ET

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This complimentary webinar is hosted by the Insurance and Finance SAS Users Group (IFSUG).

Recent technological advances have renewed interest in multivariate time series analysis.

In contrast to univariate time series models, which focus on temporal dependencies of individual variables, multivariate time series models exploit interrelationships between different series, often with improved forecasts.

This complimentary webinar focuses on VARMAX and the applications of cointegration and long memory – two phenomena observed in time series data sets from areas like finance, economics and computer networks.

We’ll discuss two real-world examples, illustrating how to use the new features of the VARMAX procedure in SAS/ETS® 14.1 and 14.2 for improved forecasts for multivariate time series:

  • Cointegration in the Federal Reserve Board's Comprehensive Capital Analysis and Review (CCAR).
  • Long memory behavior of US inflation rates.

About the presenter

Xilong Chen

Xilong Chen
Principal Research Statistician Developer, SAS

Xilong Chen has been at SAS since 2008. Working in the Advanced Analytics Division, he supports and develops the AUTOREG, ENTROPY, PDLREG and VARMAX procedures. Xilong specializes in time series analysis. He has also received several patents on simulating statistical tests.

About the Insurance and Finance SAS® Users Group (IFSUG)
IFSUG is open to all SAS users in the financial services industry. Its purpose is to provide a forum for the exchange of ideas and information, and to facilitate SAS skills development. To learn more and join the group, visit the IFSUG website.

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