Programming the statistical procedures from SAS

time series with proc reg

Reply
Contributor
Posts: 60

time series with proc reg

Hi,

I am new in time series modeling.

Unfortunately I don't have proc autoreg and I am trying to fit a time series with proc reg.

In my model I am using lag of the dependent and some other x's.
The is no collinearity, dw=1.8 but I still feel that I need to improve the model because the RMSE in my validation is a bit high.

1) I want to add another lag of y, so I will have

y= B0 +B1lag1(y) + B2 lag2(y) +B3X1 +B4X2

What about the Problem of multicolinearity in this case? between lag1(y) and
lag2(y) ? should I be concerned about that? What should I look for in that case.

2) Also, I use durbin watson because in proc reg the godfrey test is not available, someone have a code that imitate the godfrey test? or can pinpoint another way to check autocorellation without proc autoreg because i don't have it in my package.

Hope I will get some answers Smiley Happy
Super Contributor
Super Contributor
Posts: 365

Re: time series with proc reg

Posted in reply to sasuser1000
Hello SASUser1000,

"What about the Problem of multicolinearity in this case? between lag1(y) and
lag2(y) ? should I be concerned about that? What should I look for in that case"

proc REG has special options to test collinearity, see "Collinearity Diagnostics" topic in SAS help for proc REG.

model y=lag1y+lag2y+X1+X2/ tol vif collin;

switches on the diagnostics.

Sincerely,
SPR
Contributor
Posts: 60

Re: time series with proc reg

Hi SPR,

I know about VIF, I just wanted to know how to deal with the multicollinearity between two lag of y lag1 and lag2? What can I do to reduce the multicollinearity in this case, because the multicolinearity between 2 lags of Y will always be there. How to correct for it?

Best,
Shira
Contributor
Posts: 33

Re: time series with proc reg

Posted in reply to sasuser1000
You can't do this properly with Proc Reg. You need Proc arima to address the auto correlation between adjacent observations.
Ask a Question
Discussion stats
  • 3 replies
  • 329 views
  • 0 likes
  • 3 in conversation