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PROC UCM estimates

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Frequent Contributor
Posts: 126

PROC UCM estimates

Hi all,

I am running a UCM model logsales=logbaseprice dummy1 dummy2 promo1 promo2

(promo1 promo2 as dummies also)  as well as requesting the unobserved components.

My problem is the following : my level seems to be getting the most of the contribution for the prediction while my promo variables are not contributing as i had expected even in the weeks that the indication of promotion is obvious.

Am i doing something wrong when it comes to the estimates that i get from the run? should i convert them in someway to get the contribution? i am a bit sceptical since using logs but i revert back the logs as should, is there something similar  that needs to be done for the promo and dummy coeffs?

Thanks in advance

SAS Employee
Posts: 416

Re: PROC UCM estimates

Posted in reply to chemicalab

Hello -

Would it be possible to share your code and some example data?

As a wild guess:

If you are using a local linear model, you could try to set the LEVEL variance to 0, but leave the SLOPE variance to be determined by the procedure.

This will result in a smoother trend estimation, which might be helpful.

Thanks,

Udo

SAS Employee
Posts: 89

Re: PROC UCM estimates

Posted in reply to chemicalab

In addition to Udo's reponse I would also ask what your particular objective is?  If it is prediction, then perhaps not finding a huge response is acceptable.  If, on the other hand, your objective is to find the marginal effect of the program then you might either re-examine the tool (PROC AUTOREG) or the functional form (lags: the effect might not be contemporaneous).  My two cents.

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