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persistence modeling

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persistence modeling

What SAS procedure should I use when I want to do persistence modeling for time series data?
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Re: persistence modeling

According to "Persistence Modeling for Assessing Marketing Strategy Performance" ( persistence modeling is a multi-step process.
The authors of the paper suggest that "unit-root tests are used to determine whether or not the different variables are stable or evolving. In case several of the variables are found to have a unit root, one subsequently tests for cointegration. Depending on the outcome of these two preliminary steps, one estimates a Vector-AutoRegressive (VAR) model in the levels, in the differences, or in error-correction format. Finally, the parameter estimates from this VAR model are used to derive Impulse Response Functions (IRFs), from which various summary statistics on the short- and-long-run dynamics of the system can be derived."
As such I think you will need to use the following SAS/ETS procedures: AUTOREG and VARMAX.
Hope this makes sense,
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