I was once a consultant for a direct-marketing application wherein I was tasked with building a time series model to predict optimal advertising spend based on a large number of customer contact channels and related variables. I wrote the %ARIMA_SELECT macro to cull out variables that did not contribute significantly to the advertising spend response variable and to present variables that were strongly related to the response variable.
I am sharing the %ARIMA_SELECT macro with the SAS community so that you may benefit from my work.
I presented this work at the WUSS 2013 conference.
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