forecasting with categorical variables

[ilikesas]

Hi,

I have a time series with the following independent variables:

time, vendor, product, miles driven

time is the time variable (1,2,3,... corresponding to months)

vendor and product are categorical variables

miles driven is a quantitative variable

Will it be statistically correct if I did the following:

proc autoreg data=MyData;
 class vendor product;
model sales = vendor product miles_driven;
 run; 

Its just that the few times when I did time series I only had time as an independent variable, but here there are categorical and quantitative variables as well so I just want to make sure that using the proc autoreg will yield meaningful results.

Thank you

[gcjfernandez]

Class statement in Proc Autoreg is experimental now. However you could fit models with categorical variables just like GLM using the class statement. You could also try any potential interactions with the class statement. Make sure use appropriate AR terms to accomadate autocorrelation.