I am working on my Master's thesis, and am working with forecasting a binary event (ie: NBER-defined recessionary period) with real time data. Currently I am working with a basic probit model (starting with just one lag of one explanatory variable), and I am running into a snag. I need to be able to calculate the parameters for a model using all but the last observation of the data (for a one-period ahead forecast), then see how the last period explanatory model, plugged into the model SAS outputs, would forecast the dependent variable in question. I could do this manually in an individual case, but I am working with a series of hundreds of information sets (each representing the real-time historical data available in a given month) and need to create a series of these forecasts. I believe the term for this is recursive forecasting. As I also plan on running similar regressions with more lags, I need an automated program which can somehow pull the parameters estimated by the probit regression, then plug the last value of the information set I am working with into them to forecast the dependent variable. I also have need of a way to take the forecasted dependent variable and append it to a worksheet already available in the SAS enviornment (though I expect htis one is actually quite easy, I'm bringing it up because I've spent so much time on the first concern I haven't thought about this one at all). I have been trying to figure this out for a few days now, but as I'm a complete SAS newb it mostly feels like I'm wading around in the dark. I eventually have to create a program that will iterate over every information set with the model specification, but I want to do that myself, I just need help with the first step of actually utilizing the parameters provided by the model. Any advice on this front would be greatly appreciated! A way to take the model itself on every run and upload it into a series so that I can just combine it and a series of last observations would also work fine. I also unfortunately can't share my data to give you guys a better idea of what I am dealing with because it is proprietary 😞
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