I am trying to use proc model to run a time series regression yt = A*xt by 10 group ids and then use the regression result to forecast y(t+1) at x(t+1). The coefficients came out with 10 groups. However the forecast result came out just as one group. I wonder how can I generate forecast by groups as well. My code is as follows.
data shock1; *generate x1 to xt then forecast y at x(t+1) and x(t+2) r = 0; * 5 lagged values assumed be zero; do i=1 to 5; output; end; i=6; * impulses; r = 1; output shock1; r = .; * future values; do i=7 to 8; output; end; run;
proc model data=regdata; by groupID; r = A1*lag5(1,r)+A2*lag5(2,r)+A3*lag5(3,r)+A4*lag5(4,r)+A5*lag5(5,r);
fit r/ sur outs=vcov (drop=_nused_) outest=est out=res; solve / forecast data=shock1 out=prediction;
The out=prediction dataset only generate one group of forecast without groupID. I need the forecast to be also by groupID. I would appreciate it very much if anyone could help me on this.
Plz post it at forecast forum ,since it is about SAS/ETS
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