topic Re: how to check the influence of binary variable on continues variable that changes in time in Statistical Procedures

how to check the influence of binary variable on continues variable that changes in time

Lili23 — Sat, 21 Sep 2019 07:54:45 GMT

Hi,

I have a dataset concerning cryptocurrencies rates in time. There are 10 types of currencies. I added a several binary variables to it and I would like to check it's influence on the price. In other words, if a given variable causes that this currency price changes/increases quicker that those that do not have this feature. I paste the data sample:

label Currency="Currency" Date="Date" Open="Open" High="High" Low="Low" Close="Close" Volume="Volume" Market Cap="Market Cap" Deflationary="Deflationary" Mining_coin="Mining_coin" Algorythm_SHA_256="Algorythm_SHA_256" Algorythm_Scrypt="Algorythm_Scrypt" Al
gorytm_Ethash="Algorytm_Ethash" Proof_of_work="Proof_of_work" Proof_of_stake="Proof_of_stake" Proof_of_revenue="Proof_of_revenue" More_than_three_letters_in_short="More_than_three_letters_in_shortcut";
datalines;
ripple 24-Apr-19 0.321114 0.321282 0.296982 0.302318 1,517,791,002 . . 1 0 0 0 0 0 0 0 0
ripple 23-Apr-19 0.323844 0.328396 0.320919 0.321222 1,077,333,990 . . 1 0 0 0 0 0 0 0 0
ripple 22-Apr-19 0.322277 0.32935 0.320237 0.323934 1,131,094,080 . . 1 0 0 0 0 0 0 0 0
ripple 21-Apr-19 0.328678 0.329627 0.318746 0.322449 1,005,803,846 . . 1 0 0 0 0 0 0 0 0
ripple 20-Apr-19 0.331871 0.333213 0.324969 0.328476 931,570,799 . . 1 0 0 0 0 0 0 0 0

I tried logistic regression but it does not measure the influence on price. I also tested the correlation but I'm not sure if I can somehow use it for this purpose. What kind of analysis would you recommend for such test? Also, the data is left-censored.

Thank you!

Re: how to check the influence of binary variable on continues variable that changes in time

PaigeMiller — Sat, 21 Sep 2019 10:57:31 GMT

It sounds like you are saying that the independent (predictor) variable is the binary variable, and the dependent (response) variable is the price.

Is that a correct understanding?

Re: how to check the influence of binary variable on continues variable that changes in time

Lili23 — Sat, 21 Sep 2019 11:30:32 GMT

Yes, that's correct.

Re: how to check the influence of binary variable on continues variable that changes in time

Ksharp — Sat, 21 Sep 2019 11:32:46 GMT

Check EFFECTPLOT statement of proc logistic .

@Rick_SAS wrote a blog about it before .

Re: how to check the influence of binary variable on continues variable that changes in time

PaigeMiller — Sat, 21 Sep 2019 12:17:09 GMT

@Lili23 wrote:
Yes, that's correct.

This is an ANOVA, which you can run in PROC GLM, with the binary variables in the CLASS statement. However, this does not account for the left-censoring of the response, which is something I have never really had to deal with. I believe that left censored data can be modeled via a Tobit analysis; and I leave it up to you to do the searching to find out how to do that in SAS.