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01-04-2017 04:53 AM

This code:

proc plm restore=SomeLib.ModelParams; score data=SomeLib.TestData out=SomeLib.Predictions; run;

produces the dataset SomeLib.Predictions which contains the predictions of the model against the dataset SomeLib.TestData.

Just wondering, can I use proc plm to obtain performance metrics such as:

Root MSE

Dependent Mean

R-Square

Adj R-Sq

AIC

AICC

SBC

ASE

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Solution

01-05-2017
07:36 AM

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01-04-2017 08:57 AM - edited 01-04-2017 09:10 AM

Not really. Those statistics have to do with evaluating the suitability of the model fit, so they come out of the regression procedures. They don't change after the model is fit. In contrast, PROC PLM is intended for for post-fitting analyses (after you have settled on a model) such as scoring new data or testing for treatment differences.

PROC PLM does provide some model statistics if you use the SHOW statement. For example, you can submit SHOW FITSTATS, which provides the MSE and ErrorDF statistics. So you can get figure out the RMSE. But I don't see an easy way to get AIC, BIC, etc

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Solution

01-05-2017
07:36 AM

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01-04-2017 08:57 AM - edited 01-04-2017 09:10 AM

Not really. Those statistics have to do with evaluating the suitability of the model fit, so they come out of the regression procedures. They don't change after the model is fit. In contrast, PROC PLM is intended for for post-fitting analyses (after you have settled on a model) such as scoring new data or testing for treatment differences.

PROC PLM does provide some model statistics if you use the SHOW statement. For example, you can submit SHOW FITSTATS, which provides the MSE and ErrorDF statistics. So you can get figure out the RMSE. But I don't see an easy way to get AIC, BIC, etc

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01-04-2017 12:21 PM

Thanks but they change when I apply the model to new data (e.g. to assess when the model start to diverge - e.g. adjusted R squared decreases). I will take a look at SHOW.