Replacing Variables by WoE in Logistic Regression

asifgeneral — Sat, 18 May 2019 15:43:41 GMT

Hello,

How to Replacing Variables by WoE (Weight of Evidence) in Logistic Regression in SAS.

Sas enterprise miner gives a conveient way to do this, but how to do it in sas 9.4? Can you please help.

Regards,

Re: Replacing Variables by WoE in Logistic Regression

PaigeMiller — Sat, 18 May 2019 22:16:46 GMT

@asifgeneral wrote:

Hello,

How to Replacing Variables by WoE (Weight of Evidence) in Logistic Regression in SAS.

Sas enterprise miner gives a conveient way to do this, but how to do it in sas 9.4? Can you please help.

Regards,

Is the question really about how to compute the WOE? Or is the question really how to replace the values of a variable, as it says?

Re: Replacing Variables by WoE in Logistic Regression

Ksharp — Sun, 19 May 2019 12:34:56 GMT

I would use PROC FORMAT . Something like:


data fmt_&var ;
 set cutpoints;
 start=lag(cutpoints);
 end=cutpoints;
 if start=.M then hlo='IL';
 if end=.I then hlo='IH';
 if _n_ ne 1 then do;group+1;output;end;
run;
data fmt_&var(index=(group));
 merge  fmt_&var woe_&var(keep=group woe);
 by group;
 retain fmtname "&var" type 'I';
 keep group fmtname type start end woe hlo;
 rename woe=label;
 label group=' ';
run;
proc format cntlin=fmt_&var library=z;
run;

options fmtsearch=(z);
data want;
 set have;
 woe_age=input(age,age.);
 woe_sex=input(sex,sex.);
 woe_client_s=input(client_s,client_s.);
 woe_version=input(version,version.);
 woe_interset=input(interset,interset.);
 woe_insure_y=input(insure_y,insure_y.);
 woe_gps=input(gps,gps.);
 woe_brand=input(brand,brand.);
 woe_up_brand=input(up_brand,up_brand.);
 woe_shop_p=input(shop_p,shop_p.);
 woe_brand_p=input(brand_p,brand_p.);
 woe_birth_p=input(birth_p,birth_p.);
 woe_rent=input(rent,rent.);
 woe_first_p=input(first_p,first_p.);
 woe_tax=input(tax,tax.);
 woe_capital=input(capital,capital.);
 woe_from_s=input(from_s,from_s.);
 woe_price_c=input(price_c,price_c.);
 woe_price_p=input(price_p,price_p.);
 *woe_ratio_f=input(ratio_f,ratio_f.);
 woe_insurea=input(insurea,insurea.);
 woe_insureb=input(insureb,insureb.);


 woe_cont_n=input(cont_n,cont_n.);
 woe_marry=input(marry,marry.);
 woe_pay_way=input(pay_way,pay_way.);
 woe_insure_w=input(insure_w,insure_w.);
 woe_bussines=input(bussines,bussines.);
 woe_culture=input(culture,culture.);
 woe_group_c=input(group_c,group_c.);
 woe_duty=input(duty,duty.);
 woe_car_usag=input(car_usag,car_usag.);
 woe_icompany=input(icompany,icompany.);
 woe_cont_a_n=input(cont_a_n,cont_a_n.);
 woe_nation=input(nation,nation.);

run;












/******Firstly,Check Multicollinearity***********/
%let varlist= 
woe_sex
woe_client_s
woe_interset
woe_insure_y
woe_gps
woe_brand
woe_shop_p
woe_rent
woe_first_p
woe_cont_n
woe_marry
woe_culture
woe_nation
;



%let n=%sysfunc(countw(&varlist,%str( )));
%put &n ;

proc logistic data=want outest=est(keep=intercept &varlist);
model good_bad(event='good')= &varlist 
/outroc=x.roc lackfit scale=none aggregate rsquare  firth corrb  /* selection=stepwise sle=0.1 sls=0.1*/ ;
output out=output h=h c=c cbar=cbar predicted=PredProb;
run;

But if you are sas rookie, you could write it by hand, something like :

data want;

set have;

if missing(age) then woe_age=0.213;

else if age<20 then woe_age=0.342;

else woe_age=0.4345;

if missing(sex) then woe_sex=0.234;

else if sex='F' then woe_sex=0.456;

else if sex='M' then woe_sex=0.675;

run;

topic Re: Replacing Variables by WoE in Logistic Regression in SAS Programming

Replacing Variables by WoE in Logistic Regression

Re: Replacing Variables by WoE in Logistic Regression

Re: Replacing Variables by WoE in Logistic Regression