Proc Reg Forcing Variable

Giraffe123 — Fri, 25 Nov 2022 11:16:34 GMT

Hi Everyone,

I'm trying to fit a regression model in sas to a default series using macroeconomic variables. I have 6 potential macro variables. 3 of these should be forced to be in the model (gdp, cpi and prime).

I have 24 lags on each of the variables (i.e. gdp lag1, gdp lag2 .... gdp lag 24). I would like to force the 3 core variables (gdp, cpi, prime) or any of their variables (lag1 - lag 24) into the model while testing the remaining 3 variables (hddi, hpi and vsr) to get the best fit. I'm allowing for 6 variables in the model.

Thus, I'm looking for a potential model that looks like this (for example)

def_rate = gdp_lag18 + prime_lag2 + cpi_lag6 + hddi_lag12

def_rate = gdp_lag8 + prime_lag15 + cpi_lag8 + hddi_lag2 + hpi_lag1

etc.

Point is I would like to force the proc regression model to include the 3 core macrovariables and any of their variants. Does anyone know an easy way to do this?

I'm aware of the include= function, but I don't think you can specify either/or in the option (for instance it can be GDP_lag 2 or GDP_Lag15 ,but must include GDP, prime and cpi)

I know one can also output every model possible by not specifying in the best = function, and then filter on your output, just don't think this is the optimal method because you will be fitting thousands of models.

Thanks!

Re: Proc Reg Forcing Variable

PaigeMiller — Fri, 25 Nov 2022 11:42:53 GMT

You might want to try the GROUPNAMES= option in MODEL statement of PROC REG. That may or may not do what you are asking.

A better solution, in my opinion, is to fit a Partial Least Squares model (PROC PLS) and then all of your variables are included in the model, in such a way that the effect of multi-collinearity is reduced. See here for an example of a PLS model which had 1000 highly correlated predictor variables and used them all and produced a usable model. One benefit is that all this effort to select variables to put into the model is eliminated or reduced.

topic Proc Reg Forcing Variable in Statistical Procedures

Proc Reg Forcing Variable

Re: Proc Reg Forcing Variable