Is my PSI (Population Stability Index) calculation code correctly implemented in SAS?

[jorgelobin]

Hello everyone,

I have written some code in SAS to calculate the Population Stability Index (PSI) in order to compare the distributions of a decision engine between two datasets (a base model and a current dataset). I would like to ask if the implementation is correct and if the PSI calculation is done appropriately. Any feedback or suggestions would be greatly appreciated!

Data description:

• I am using two datasets: BBDD_MODELO (the base model) and BBDD_OOT (the current dataset).
• Both datasets contain the variable MOTOR_DE_DECISION, which indicates different decision categories. I aim to compare the proportions of these categories between the two datasets using the PSI.

Steps already tried:

Here is the SAS code I’ve implemented so far. The script performs the following steps:

1. Import the two Excel datasets (BBDD_MODELO and BBDD_OOT).
2. Calculate counts and proportions for each category of the variable MOTOR_DE_DECISION in both datasets.
3. Calculate the PSI by comparing the proportions between the base model and the current dataset.
4. Create a summary table with the PSI values and classify the stability result as Green (G), Amber (A), or Red (R) based on the PSI threshold.

/*Lectura del archivo BBDD_MODELO.xlsx*/
PROC IMPORT OUT=BBDD_MODELO
    DATAFILE = "C:\Users\user\Desktop\BBDD_MODELO.xlsx"
    DBMS = XLSX;
    GETNAMES = YES;
RUN;

/*Lectura del archivo BBDD_OOT.xlsx*/
PROC IMPORT OUT=BBDD_OOT
    DATAFILE = "C:\Users\user\Desktop\BBDD_OOT.xlsx"
    DBMS = XLSX;
    GETNAMES = YES;
RUN;

/*Recuentos y Proporciones de la tabla base (BBDD_MODELO)*/
/*Obtenemos las frecuencias de los distintos valores de la variable MOTOR_DE_DECISION*/
PROC SQL;
	CREATE TABLE BASE_AUX AS SELECT
		MOTOR_DE_DECISION,
		COUNT(*) AS RECUENTO_BASE
	FROM BBDD_MODELO
	GROUP BY MOTOR_DE_DECISION;
QUIT;

/*Sumamos todas las frecuencias de cada categoría para obtener el total de observaciones*/
PROC SQL NOPRINT;
	SELECT SUM(RECUENTO_BASE) INTO :TOT_RECUENTO_BASE
	FROM BASE_AUX;
QUIT;

/*Calculamos la proporción de cada categoría*/
DATA BASE;
	SET BASE_AUX;
	PROPORCION_BASE = (RECUENTO_BASE/&TOT_RECUENTO_BASE);
RUN;

/*Sumamos todas las proporciones de cada categoría. Esta suma tiene que ser igual a 1*/
PROC SQL NOPRINT;
	SELECT SUM(PROPORCION_BASE) INTO :TOT_PROPORCION_BASE
	FROM BASE;
QUIT;
/*Recuentos y Proporciones de la tabla actual (BBDD_OOT)*/
/*Obtenemos las frecuencias de los distintos valores de la variable MOTOR_DE_DECISION*/
PROC SQL;
	CREATE TABLE ACTUAL_AUX AS SELECT
		MOTOR_DE_DECISION,
		COUNT(*) AS RECUENTO_ACTUAL
	FROM BBDD_OOT
	GROUP BY MOTOR_DE_DECISION;
QUIT;

/*Sumamos todas las frecuencias de cada categoría para obtener el total de observaciones*/
PROC SQL NOPRINT;
	SELECT SUM(RECUENTO_ACTUAL) INTO :TOT_RECUENTO_ACTUAL
	FROM ACTUAL_AUX;
QUIT;

/*Calculamos la proporción de cada categoría*/
DATA ACTUAL;
	SET ACTUAL_AUX;
	PROPORCION_ACTUAL = (RECUENTO_ACTUAL/&TOT_RECUENTO_ACTUAL);
RUN;

/*Sumamos todas las proporciones de cada categoría. Esta suma tiene que ser igual a 1*/
PROC SQL NOPRINT;
	SELECT SUM(PROPORCION_ACTUAL) INTO :TOT_PROPORCION_ACTUAL
	FROM ACTUAL;
QUIT;
/*Cálculo del PSI*/
DATA RESUMEN;
	MERGE BASE ACTUAL;
	BY MOTOR_DE_DECISION;
	IF RECUENTO_BASE = . THEN RECUENTO_BASE = 0;
	IF RECUENTO_ACTUAL = . THEN RECUENTO_ACTUAL = 0;
	IF RECUENTO_BASE = 0 THEN PROPORCION_BASE = (1/&TOT_RECUENTO_BASE);
	IF RECUENTO_ACTUAL = 0 THEN PROPORCION_ACTUAL = (1/&TOT_RECUENTO_ACTUAL);
	PSI = (PROPORCION_ACTUAL-PROPORCION_BASE)*LOG(PROPORCION_ACTUAL/PROPORCION_BASE);
RUN;
/*Guardamos el valor del PSI en la macro variable PSI*/
PROC SQL NOPRINT;
	SELECT SUM(PSI) INTO :PSI
	FROM RESUMEN;
QUIT;
/*Se crea la fila de totales*/
DATA TOTALES;
	MOTOR_DE_DECISION = "TOTAL";
	PSI = Ψ
	RECUENTO_BASE = &TOT_RECUENTO_BASE;
	RECUENTO_ACTUAL = &TOT_RECUENTO_ACTUAL;
	PROPORCION_BASE = &TOT_PROPORCION_BASE;
	PROPORCION_ACTUAL = &TOT_PROPORCION_ACTUAL;
	IF PSI <= 0.1 THEN RAG = "G";
		ELSE IF 0.1 < PSI <= 0.25 THEN RAG = "A";
		ELSE IF PSI > 0.25 THEN RAG = "R";
RUN;
/*Añadimos los totales a la tabla resumen*/
DATA RESULTADO;
	RETAIN MOTOR_DE_DECISION RECUENTO_BASE RECUENTO_ACTUAL PROPORCION_BASE PROPORCION_ACTUAL PSI RAG;
	SET RESUMEN TOTALES;
	FORMAT PROPORCION_BASE 6.4;
	FORMAT PROPORCION_ACTUAL 6.4;
RUN;

You can also check a more detailed explanation and implementation of the Population Stability Index (PSI) on my website, where you can download the datasets to test and verify the code:

PSI Implementation in SAS

Thank you in advance for your help!