Proc Autoreg Class vs BY

[alexgouv]

Hi all,

I am trying to work on an ensemble model, one of which being an auto regressive model. I have a grouping variable(ID) and I am not sure what the difference is between the Class and By statements for this proc. I have only been able to find information on the difference in other procs(a lot of proc means).

If someone could explain how the class statement would effect my output that would be great!

[PGStats · Accepted solution]

The class statement has the same role in all regression procs.

A CLASS statement declares a categorical variable for use in your model. Parameters will be fitted for each level of the class variable.

A BY statement fits as many models as there are by-levels. It is a shortcut to submitting the proc for every level of the by-variable.

by sex;

model weight = height;

fits two models with separate slopes and interceps.

class sex;

model weight = sex height;

fits a single model with two interceps and a single slope.

hth