Programming the statistical procedures from SAS

Lagged dependent variable as input to model

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Occasional Contributor
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Lagged dependent variable as input to model

I am trying to introduce AR1 term into my models (lag of dependent variable). It is easy to do for the for the historic period which is lag(y). But I am wondering how to create it for the forecast period (it would actually be the lag of the prediction).  Is ther any SAS procedure or autoreg can do this??  My data looks like:

 

Date                                    Y                            lag(y)                    X1           X2

…                                          .006                      ….                        12           7

Q1 2016                              .005                      .006                      1             3             

Q2 2016                              .004                      .005                      11           7

Q3 2016                              .003                      .004                      8             7

Q4 2016                              .004                      .003                      10           6

Q1 2017                              .                             .004                      12           5

Q2 2017                              .                             .                             11           4

Q3 2017                              .                             .                             10           3

Q4 2017                              .                             .                             11           4

….

 

How do I populate lag(Y) for qtr’s Q2 2017 & beyond so that I can use it in regression??

 

Thanks in advance.

Grand Advisor
Posts: 9,451

Re: Lagged dependent variable as input to model

If you are fitting ARIMA(0,1,0) , you do not need lagged dependent variable as input variable,

PROC ARIMA will do that for you, input variables is for other variables like X1 , X2 rather than autoregression variable.

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