Hi, I am doing a time series (Autoreg) model, which I have over 100 models with 10 years of monthly data. I have auto prices to over 100 FS's (FS are the 2 digits of a Canadian postal code eg. D2). I don't want to make 100 models so I need to find what FS's have prices movements in common that I can group them all, but also some cases where it is important to leave some open FS's to more granularity such as FSA's (the first 3 letters of the postal code, eg. D2Y)....so for example leave M5R, M5T, M5H.. hope I've made it simple enough for a good answer. I basically need a procedure in SAS that allows me to close up some FS (commonality) and leave some open (more detail).. I was wondering if VARCLUS could work, or any other. Thanks
sample data
FS FSA
M5 M5R
M5 M5T
M5 M5H
M4 M4R
M4 M4E
D2 D2K
D2 D2L
D4 D4G
D3 D3F
look something like this
FS FSA
M5 M5O <- was M5 and M4
D2 D2K
D2 D2L
D4 D4O <- was D4 and D3