Predictive regression on next year's independent variables

wryd078 — Thu, 05 Sep 2019 21:21:44 GMT

Hi SAS Community,

I'm currently using a macro to run rolling regressions where every year the data size increases, i.e. 2009, 2009-2010, 2009-2011 etc., with the following code.

ods graphics off;

ods listing close;

%macro loopOverYears;

%do i=2009 %to 2018;

ods output ParameterEstimates=Output&i;

proc sort data=import; by GIC_SECT Year;

proc glm data=import;

class GIC_SECT Year;

model logtotal = GIC_SECT Year logrev logassets logcapx gmar levg / solution;

where year<=&i;

run;

%if &i = 2009 %then %do;

data AllEstimates;

set output&i;

endYear=&i;

run;

%end;

%else %do;

data output&i;

set output&i;

endYear=&i;

run;

data AllEstimates;

set AllEstimates output&i;

run;

%end;

ods listing;

%mend;

%loopOverYears;

From here, I need to be able to use the coefficients from these regression results to predict next year's logtotal based on next year's independent variables (GIC_SECT Year logrev logassets logcapx gmar levg). For example, I would run a regression for a data subset 2009-2015 and then use these results to predict logtotal in 2016 based on the independent variables in 2016.

Does anyone know how I might accomplish this?

Re: Predictive regression on next year's independent variables

sbxkoenk — Fri, 13 Sep 2019 20:30:58 GMT

These three articles should help you out. They give an exhaustive answer to your scoring question.

Techniques for scoring a regression model in SAS

By Rick Wicklin on The DO Loop February 19, 2014

https://blogs.sas.com/content/iml/2014/02/19/scoring-a-regression-model-in-sas.html

Paper SAS3337-2019

SCORE! Techniques for Scoring Predictive Regression Models Using SAS/STAT® Software

Phil Gibbs and Randy Tobias, SAS Institute Inc.

https://www.sas.com/content/dam/SAS/support/en/sas-global-forum-proceedings/2019/3337-2019.pdf

Usage Note 33307: Scoring (computing predicted values) for new observations or a validation data set

http://support.sas.com/kb/33/307.html

As you will clearly notice, you have multiple options to achieve what you are after.

Koen

topic Predictive regression on next year's independent variables in SAS Programming

Predictive regression on next year's independent variables

Re: Predictive regression on next year's independent variables