I am attempting to build a multinomial logistic model that predicts various states of a loan's performance (ie., Current, Past Due, Defaulted, Paid off). Although proc logisitc would seem like a good candidate, the issue is that prepayment has very different drivers than default/delinquency. Even though I could use a variable selection procedure, it still selects undesired variables. Ideally, I would prefer to have different sets of variables for prepayment, while preserving the joint modeling. Is there a way to do this? Thanks for any assistance you may provide.
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