topic PROC UCM estimates in SAS Forecasting and Econometrics

PROC UCM estimates

chemicalab — Wed, 10 Apr 2013 14:45:56 GMT

Hi all,

I am running a UCM model logsales=logbaseprice dummy1 dummy2 promo1 promo2

(promo1 promo2 as dummies also) as well as requesting the unobserved components.

My problem is the following : my level seems to be getting the most of the contribution for the prediction while my promo variables are not contributing as i had expected even in the weeks that the indication of promotion is obvious.

Am i doing something wrong when it comes to the estimates that i get from the run? should i convert them in someway to get the contribution? i am a bit sceptical since using logs but i revert back the logs as should, is there something similar that needs to be done for the promo and dummy coeffs?

Thanks in advance

Re: PROC UCM estimates

udo_sas — Thu, 11 Apr 2013 20:27:29 GMT

Hello -

Would it be possible to share your code and some example data?

As a wild guess:

If you are using a local linear model, you could try to set the LEVEL variance to 0, but leave the SLOPE variance to be determined by the procedure.

This will result in a smoother trend estimation, which might be helpful.

Thanks,

Udo

Re: PROC UCM estimates

ets_kps — Thu, 11 Apr 2013 20:55:45 GMT

In addition to Udo's reponse I would also ask what your particular objective is? If it is prediction, then perhaps not finding a huge response is acceptable. If, on the other hand, your objective is to find the marginal effect of the program then you might either re-examine the tool (PROC AUTOREG) or the functional form (lags: the effect might not be contemporaneous). My two cents.