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Dynamic regression models with external factors

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Occasional Contributor
Posts: 14

Dynamic regression models with external factors

Hi,

 

I am trying to program a regression model which includes multiple independent variables and a lagged dependent variable. It can be written as

                                                                  Yt=a0 + a1*X1+a2*X2+a3*X3+a4*Yt-1

where Yt is predicted value at time t, X1-X4 are independent varibales, Yt-1 is the predicted value at time t-1, and a0-a4 are parameters.

 

My questions is which proc statement I should use.

 

Thanks,

Sherri

Super User
Posts: 9,681

Re: Dynamic regression models with external factors

If I was right, PROC ARIMA could do it .

Super Contributor
Posts: 336

Re: Dynamic regression models with external factors

.. or proc autoreg (use nlag for yt-1) or even proc reg (if you use lag function on y).

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