topic Markov Chain Forecasts in SAS Forecasting and Econometrics

Markov Chain Forecasts

SlutskyFan — Thu, 05 Aug 2010 19:49:24 GMT

Is there a way to implement markov chains models in SAS ( for forecasting purposes using transition matrices as opposed to gibbs sampler MCMC simulations)

I suppose I could define matrices in R or via SAS IML, but I'd hope that there is a PROC that can be exploited for this.

For example see:

http://www.utdallas.edu/ospa/research/Conference%20Presentations/AIR/documents/TimeHorizon.pdf

Thanks

Re: Markov Chain Forecasts

Eisa — Tue, 28 Jan 2014 14:15:55 GMT

From my knowledge, you could implement MC (markov chains) model in proc IML.

I attached an example of code that use SAS to implement MC models in proc IML.

Some options in proc MCMC export posterior sample for other analysis. However i not sure to fully understand your need ?

Re: Markov Chain Forecasts

AndreToman — Thu, 10 Apr 2014 18:47:23 GMT

There is no out-of-the-box PROC that can build Markov chain forecasts that I know of. If it's really simple with static transition probabilities, then it could be done in IML. Alternatively, one can build dynamic Markov models using Base SAS and SAS/STAT...you don't even have to use IML. Your transition probabilities must be computed using logistic regression. I build migration models for account delinquency status estimation (stress testing models for the Dodd-Frank Act) using SAS 9.3. It's lots of coding. If I can make my code sanitary enough, I'll try to share in the SAS communities.

Andre