I take your point. proc IML could be a second best solution (but a subroutine for time series recursive regression doesn't exist at the moment) however, in my opinion, the first best would be a "recursive" option in proc ARIMA
... View more
For me recursive regression means <<Using the K first observations in the sample to get an initial estimate of beta vector, we gradually enlarge the sample, adding one observation at a time, and re-estimate beta at each step >> (Dufour, J. of econometrics, 19, 1982, pp.31-76) Sas has something similar in proc AUTOREG only Thank you
... View more
Recursive regression is a basic tool in linear statistical models Many standard handbook include this topic (e.g. coefficient stability in time series regression) It wouldn't be difficult to create by SAS programmers a proc RECREG (!) with the basic output.....saving a lot of client time & effort thank you
... View more
I have to run this linear regression y = a +b1 x1 + b2 x2 +u with b1, b2 >0 and b1+b2=1 proc reg would be perfect but it doesn't accept inequality constraints. viceversa, proc nlin would be ok but it doesn't accept equality constraints. one possibility would be proc nlin with y= a + exp(c1) x1 + (1-exp(c1)) x2 + u Do you have a better solution? thank you
... View more