topic scoring code from proc autoreg - help in SAS Forecasting and Econometrics

scoring code from proc autoreg - help

danilo276 — Sun, 27 Apr 2014 14:35:01 GMT

Hello group,

I need some help to write scoring code from proc autoreg. What is the actual code that can replicate the predicted quantities from the output out = dataset?

It's easy enough to calculate the predicted model component (using standard coefficients) but how does one incorporate the AR coefficients?

Any help will be greatly appreciated.

I'm struggling even with a simple example: consider the example given in SAS online documentation:

   data a;
      ul = 0; ull = 0;
      do time = -10 to 36;
         u = + 1.3 * ul - .5 * ull + 2*rannor(12346);
         y = 10 + .5 * time + u;
         if time > 0 then output;
         ull = ul; ul = u;
      end;
   run;

auto-reg model - produce an output dataset with predicted quatitites: QUESTION: HOW CAN I USE MODEL EFFECTS TO REPLICATE PREDICTED VALUES?

proc autoreg data=a outest = autoreg_parms;

aut: model y = time / nlag=2 method=ml;

output out = pred_a p = pred_y ;

run;

Re: scoring code from proc autoreg - help

PGStats — Sun, 27 Apr 2014 17:27:37 GMT

There are two types of predicted values for AR models, conditional and unconditional, depending on your needs. Which one would you like to compute? See

SAS/ETS(R) 13.1 User's Guide

Re: scoring code from proc autoreg - help

danilo276 — Mon, 28 Apr 2014 09:05:57 GMT

Thanks for your reply. I'm after the conditional mean values. The descriptions in the user guide are all nice and well for t > nlag. However, there is nothing on how to start the predicted series: the auto-regressive formula

v_t = -phi_2*v_t-2 - phi_1*v_t-1 (for AR(2) say) doesn't say how to compute v_1 and v_2. This is my whole problem.

Do you know how SAS actually does this?

Dan.