topic Dynamic regression models with external factors in SAS Forecasting and Econometrics

Dynamic regression models with external factors

SherriF — Mon, 27 Feb 2017 22:31:50 GMT

Hi,

I am trying to program a regression model which includes multiple independent variables and a lagged dependent variable. It can be written as

Yt=a0 + a1*X1+a2*X2+a3*X3+a4*Yt-1

where Yt is predicted value at time t, X1-X4 are independent varibales, Yt-1 is the predicted value at time t-1, and a0-a4 are parameters.

My questions is which proc statement I should use.

Thanks,

Sherri

Ksharp — Tue, 28 Feb 2017 02:28:31 GMT

If I was right, PROC ARIMA could do it .

user24feb — Tue, 28 Feb 2017 08:41:38 GMT

.. or proc autoreg (use nlag for yt-1) or even proc reg (if you use lag function on y).