I am trying to build vector time series forecasting models but couldn't find a good resource/book to learn from. Can anyone share with me a good resource/book? It will be great if it comes with SAS codes. Thanks.
One of my favorite books in this regard is Applied Time Series Econometrics, http://amzn.com/0521547873 and JMulTi is a great software for multivariate time-series econometrics, which was created by the book's authors. It can be downloaded for free from www.jmulti.de.
Those approaches listed above suffer from not addressing outliers like "pulse", "level shift", "local time trends", "seasonal pulses" in each of the time series being modeled. Without validating that the errors are NIID for each series these solutions are simply academic without industrial strength.
It is basically that you have several dependent variables such as y1, y2, y3, etc and you want to be able to model not only the dependency between those dependent variables but also betweem the dependent and independent variables. So, instead of building one univariate time series forecating model for each yi, where i=1,2,3,... , you want to do that simultaneouly. I am also just trying to learn this whole thing myself as we speak.