Help using Base SAS procedures

Proc MCMC with AR(1)

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New Contributor
Posts: 2

Proc MCMC with AR(1)

Hi,

I am using Proc MCMC procedure to analyze multilevel growth model.

How can I model different level-1 error structures like first order autoregressive model (AR(1)) or ARMA(1) etc.

Is it possible to model these different error structure using Proc MCMC?

I know that I can model different error structure by using different procedure like Proc Mixed but I need to know how I can do it in Proc MCMC procedure.

If anyone know about the information even it is possible or not, please let me know.

Thanks.

Respected Advisor
Posts: 2,655

Proc MCMC with AR(1)

You can probably get there with some programming steps to model the covariance structure, but I don't think it will be easy.  Using the mvn distribution in the RANDOM statement looks to me like the equivalent of an unstructured matrix in PROC MIXED, but programming to set parameters in the covariance matrix sigma to fit the specified error structure would be needed, and I think will take a lot of trial and error.  Google doesn't seem to have much in the way of help.  Perhaps there is an R package (probably nmle) that has the coding that could be adapted.

Good luck on this one.  If you find a good answer, I really, really, really want to know, as I have over thirty studies where this could be applied.

Steve Denham

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