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Fluorite | Level 6

## How to perform a What-If Analysis in SAS/ETS

Hi,

I want to see how sensitive of each variable to a response variable in percentage for a time series model generated by an ARIMA procedure in SAS/ETS, for instance, I have a model as follows:

Y(1) = AR(1) + MA(1) + aX + bZ + cR,

where Y(1) is a first-order difference term of the response variable, AR(1) is a first-order autocorrelation term,  MA(1) is a first-order moving average term, and X, Z, R are the predictor variables in the model.

Each of them has its own coefficient, and I want to see the percentage change of the response variable while each predictor variable changes for 1%, for instance,

Variable Sensitivity- Impact of One Point Change on Y(1)

 Predictor Variable Sensitivity AR(1) 30% MA(1) 1.5% X -19% Z -11% R -30%

How can I generate this kind of table for a time series model in SAS/ETS?

Thank you for your help!

Lawrence

1 ACCEPTED SOLUTION

Accepted Solutions
Barite | Level 11

## Re: How to perform a What-If Analysis in SAS/ETS

Not sure, if I understood you correctly:

``````ODS Output ParameterEstimates=Est;
Proc ARIMA Data=A;
Identify Var=x CrossCorr=(y z r);
Estimate p=1 q=1 Input=(y z r);
Run;
ODS Output Close;

Data Sensitivity1Pct (Keep=Parameter Variable Sensitivity);
Set Est;
Sensitivity=Estimate*0.01;
Run;``````
2 REPLIES 2
Barite | Level 11

## Re: How to perform a What-If Analysis in SAS/ETS

Not sure, if I understood you correctly:

``````ODS Output ParameterEstimates=Est;
Proc ARIMA Data=A;
Identify Var=x CrossCorr=(y z r);
Estimate p=1 q=1 Input=(y z r);
Run;
ODS Output Close;

Data Sensitivity1Pct (Keep=Parameter Variable Sensitivity);
Set Est;
Sensitivity=Estimate*0.01;
Run;``````
Fluorite | Level 6

## Re: How to perform a What-If Analysis in SAS/ETS

Thank you!

After you got the data set Sensitivity1Pct how do you estimate the effect of a change of an independent variable on the dependent variable while keeping all the other terms fixed?

Thank you for your help!

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