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

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

[ Edited ]

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


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2 weeks ago
Super Contributor
Posts: 336

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;

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Solution
2 weeks ago
Super Contributor
Posts: 336

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;
Occasional Contributor
Posts: 11

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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