topic Re: how to model binary outcome with time series predictors in SAS Forecasting and Econometrics

how to model binary outcome with time series predictors

A_S — Sun, 26 Mar 2017 18:52:38 GMT

Dear SAS Communities,

I need to model a binary outcome (event = 1, nonevent = 0) with the independent variables being time series data (continuous). The dependent variable marks when event occured during a specific time period, and itself is a time series.

I would greatly appreciate guidance on which proceedures are applicable. The PROCs I tried thus far appear to model continuous outcomes.

Here are some more specific questions whose answer would help:

Is there a way to set PROC PANEL to a logit model (this power point says it is possible http://www.indiana.edu/~wim/docs/10_7_2011_slides.pdf)?

How do you set PROC NEURAL or HPNEURAL to run a recurrent neural network?

How do you use time series data in PROC LOGISTIC (my understanding is that LAG is for categorical variables)?

How do you set PROC VARMAX or SSM for binary outcomes?

Thank you!

acs

Re: how to model binary outcome with time series predictors

Ksharp — Mon, 27 Mar 2017 04:20:52 GMT

If you are forecasting a variable, then it is called "Impulse Interventions"

I quoted example from documentation here. and

also check "Example 8.6: Detection of Level Changes in the Nile River Data"

in PROC ARIMA.

data a;
set a;
ad = (date = '1mar1992'd);
run;
proc arima data=a;
identify var=sales crosscorr=ad;
estimate p=1 q=1 input=ad;
run;

Re: how to model binary outcome with time series predictors

alexchien — Mon, 27 Mar 2017 19:34:48 GMT

PROC NEURAL or HPNEURAL only support regular feed-forward neural net architectures, not recurrent neural net. You can mimic the time series effects by adding lagged dependent variable as inputs. This approach usually works pretty well for very short-term forecast as it is exactly how the model is trained. If multiple steps out forecast is required, you will run into issues with forecast errors propagating exponentially into the future steps because the forecasts has to be fed back into inputs for the lagged dependent variables to generate next step of forecast. The same issue applies to any non-time series models such as regression, logistic regression, decision tree, etc. It is less of an issue if you use lagged independent variables + all future values of independent variables are known.

I am not sure if PROC SSM and PROC VARMAX supports binary dependent var.

Re: how to model binary outcome with time series predictors

A_S — Tue, 28 Mar 2017 17:34:52 GMT

Thank you!

Re: how to model binary outcome with time series predictors

A_S — Tue, 28 Mar 2017 17:36:32 GMT

Thank you! Will this example cover cases where the impulse is the target variable?

Re: how to model binary outcome with time series predictors

Ksharp — Wed, 29 Mar 2017 01:46:59 GMT

No. I don't know how to do Logistic Regression with time series data.

Maybe you should consider about PROC GLIMMIX .

Re: how to model binary outcome with time series predictors

A_S — Fri, 31 Mar 2017 12:28:43 GMT

Thank you!