topic Re: How to output "objective value" in proc model? in SAS Procedures

How to output "objective value" in proc model?

pmackay — Thu, 31 Oct 2019 06:04:09 GMT

I am doing bootstraps by rerunning proc model for 1000 randomly selected samples.

It's a system of equations estimated by GMM and the object of interest is the "objective value"

(actually objective*N), which is Hansen's J statistic. I want to save this to an output file at

each bootstrap iteration.

I cannot find how to do this in any of the SAS documentation.

I'm running SAS 9.4.

Re: How to output "objective value" in proc model?

sbxkoenk — Thu, 31 Oct 2019 21:14:00 GMT

Hello,

Do you have a SOLVE statement?

SOLVE variables <SATISFY= equations> </options>;

I think the options that you need are:

OUT=SAS-data-set

Only the solution values are output by default.

OUTACTUAL

outputs the actual values of the solved variables read from the input data set to the OUT= data set. This option is applicable only if the OUT= option is specified.

OUTOBJVALS

writes the objective function value to the OBJVALS variable in the OUT= data set. The objective function value is computed only when the OPTIMIZE solution method is specified. This value is close to 0 when an unbounded simultaneous solution is computed and can be greater than 0 when bounds are active in the solution. This option applies only if the OUT= option is specified.

OUTPREDICT

writes the solution values to the OUT= data set. This option applies only if the OUT= option is specified.

The OUTPREDICT option is the default unless one of the other output options is specified.

Koen

Re: How to output "objective value" in proc model?

sbxkoenk — Thu, 31 Oct 2019 21:33:44 GMT

Latest 9.4 documentation

on Hansen’s J test statistic

SAS/ETS 15.1

https://support.sas.com/documentation/onlinedoc/ets/151/model.pdf

p.1495

p.1744: reference to Hansen, L. P. publications.

Re: How to output "objective value" in proc model?

sbxkoenk — Thu, 31 Oct 2019 21:45:59 GMT

You are interested in:

the object of interest is the "objective value"(actually objective*N), which is Hansen's J statistic.

Do you have this statistic in a table for the last bootstrap iteration (nbr. 1000)?

Are you missing the first 999 values

or don't you have anything?

Cheers,

Koen

Re: How to output "objective value" in proc model?

pmackay — Mon, 04 Nov 2019 04:52:42 GMT

That did not work; I'm using a FIT statement - not a SOLVE stement.

However, this did:

"ods output GMMTestStats=GMMST;"

Adding this ODS statement before the Proc Model step outputs exactly what I need to a data file.