Regression

[RDellaVilla]

Hello,

I am quite new to SAS, and having problems with performing a time series regression. I have a very large dataset, and need to predict a variable based on an estimation period which is rolling in time, corresponding to a t-150 and t-31 time horizon, where t is the date of interest of the regression. 

I have sorted out all the data, already setting the estimation period dates. I have also set the values of the factors over which to estimate parameters for the period. Is there some specific documentation about this issue? or still, does someone have a suggestion so as to do it?

Thanks

Riccardo 

[gcjfernandez · Accepted solution]

You need to use PROC AUTOREG or PROC ARIMA in SAS ETS to perform time series regression. Please check the online documentation for these two procs.