There is no out-of-the-box PROC that can build Markov chain forecasts that I know of. If it's really simple with static transition probabilities, then it could be done in IML. Alternatively, one can build dynamic Markov models using Base SAS and SAS/STAT...you don't even have to use IML. Your transition probabilities must be computed using logistic regression. I build migration models for account delinquency status estimation (stress testing models for the Dodd-Frank Act) using SAS 9.3. It's lots of coding. If I can make my code sanitary enough, I'll try to share in the SAS communities.
Andre
From my knowledge, you could implement MC (markov chains) model in proc IML.
I attached an example of code that use SAS to implement MC models in proc IML.
Some options in proc MCMC export posterior sample for other analysis. However i not sure to fully understand your need ?
There is no out-of-the-box PROC that can build Markov chain forecasts that I know of. If it's really simple with static transition probabilities, then it could be done in IML. Alternatively, one can build dynamic Markov models using Base SAS and SAS/STAT...you don't even have to use IML. Your transition probabilities must be computed using logistic regression. I build migration models for account delinquency status estimation (stress testing models for the Dodd-Frank Act) using SAS 9.3. It's lots of coding. If I can make my code sanitary enough, I'll try to share in the SAS communities.
Andre
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