@Tzar wrote: Im trying to find a way of making the analytics behind this matrix easier to interpret. If there is another SAS procedure, I would gladly like to try it.
The short answer is that I do not know whether there is an alternative way to perform this analysis in SAS. Maybe or maybe not. It would presumably be part of some time series or financial risk computation, and I am not very knowledgable about the SAS offerings in those areas. However, people typically use IML when they want a statistical analysis that is NOT available in another procedure.
The analysis reads in a design matrix, X. Then modifies it according to the method that is explained in the comments. The modified design matrix is Z. Whereas the usual OLS estimates are the solution (b) to the normal equations (X`X)b = X`y, this formulation requests a solution to the modified equation (Z`X)b = Z`y. That is, instead of using X` to project y into the column space of X, this analysis uses Z` to project b.
If you can find a procedure that performs that computation, then the remainder of the program smooths the regression coefficients by using PROC EXPAND to apply a Hodrick-Prescott Filter trend component with 5 as the filter parameter.
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