/* Author PRAKASH HULLATHI */ /*CREATING THE DATA FOR MULTICOLLINEARITY*/ %MACRO REMOVE_MULTICOLLINEARITY(DATASET=,YVAR=,VIF_CUTOFF=); /*taking output of all variables*/ PROC CONTENTS DATA=&DATASET. VARNUM OUT=T; RUN; /*filter only numeric variables excluding dependent and date variables*/ DATA T1; SET T; KEEP NAME ; WHERE TYPE=1 AND NAME NOT IN("&yvar.") and FORMAT not in('DATE') ;/* Remove target and date variables*/ RUN; /*creating macro for independent variables*/ PROC SQL NOPRINT; SELECT NAME INTO : XVARS SEPARATED BY ' ' FROM T1; QUIT; %PUT independent_variables=&XVARS; /*running the regression model till independent variables vif< specified vif_cutoff*/ %DO %UNTIL (%SYSEVALF(&MAX_VIF.<=&VIF_CUTOFF.) ); /*taking the output of independent variables vif by removing the intercept*/ ODS OUTPUT PARAMETERESTIMATES=PAREST2; PROC REG DATA=&DATASET. ; MODEL &YVAR.= &XVARS. / VIF ; RUN; QUIT; /*dropping the independent variables with missing vif value*/ DATA T11; SET PAREST2; IF VarianceInflation NOT IN(.) ; RUN; /*sorting the vif value by descending order*/ PROC SORT DATA=PAREST2 OUT=PAREST2_SORT ; BY DESCENDING VarianceInflation; RUN; /*considering the highest vif value */ DATA PAREST2_SORT_2; SET PAREST2_SORT; IF _N_=1; RUN; /*creating the macro for highest vif value*/ PROC SQL NOPRINT; SELECT VARIABLE INTO: REMOVE_VAR FROM PAREST2_SORT_2; QUIT; /*dropping the highest vif value variable*/ PROC SQL NOPRINT ; SELECT Variable INTO: XVARS SEPARATED BY ' ' FROM T11 WHERE VARIABLE NOT IN("&REMOVE_VAR.","Intercept") ; QUIT; /*getiing the highest vif value*/ PROC SQL NOPRINT; SELECT MAX(VarianceInflation) INTO: MAX_VIF FROM PAREST2; QUIT; %PUT max_vif=&MAX_VIF. variable_removed=&REMOVE_VAR. ; %END; %MEND REMOVE_MULTICOLLINEARITY; %REMOVE_MULTICOLLINEARITY(DATASET=sashelp.cars,YVAR=MPG_City,VIF_CUTOFF=10) /* after running the above sas macro code for multicollinearity then run the below code */ /* final data set with no multicollinearity variables*/ data NO_MULTICOLLINEARITY; SET PAREST2; KEEP VARIABLE; RUN; PROC SQL NOPRINT; SELECT VARIABLE INTO : XVARS_final SEPARATED BY ' ' FROM NO_MULTICOLLINEARITY WHERE VARIABLE NOT IN("Intercept"); QUIT; PROC REG DATA=SASHELP.CARS; MODEL MPG_City=&XVARS_final./ VIF ; RUN; QUIT; PaigeMiller Esteemed Advisor Posts: 5,781 Re: MULTICOLLINEARITY SAS MACRO CODE Options Posted in reply to phullathi Wednesday Do you have a question? Or are you simply providing this macro for users of the Community? -- Paige Miller Message 2 of 6 (152 Views) Add Tag... Quick ReplyReply 0 Likes phullathi Occasional Contributor Posts: 17 Re: MULTICOLLINEARITY SAS MACRO CODE Options Posted in reply to PaigeMiller Wednesday Hi Team, This macro is for users Regards prakash hullathi Message 3 of 6 (117 Views) Add Tag... Quick ReplyReply 0 Likes phullathi Occasional Contributor Posts: 17 Re: MULTICOLLINEARITY SAS MACRO CODE Options Posted in reply to phullathi Wednesday This sas macro is for users Message 4 of 6 (126 Views) Add Tag... Quick ReplyReply 0 Likes phullathi Occasional Contributor Posts: 17 MULTICOLLINEARITY SAS MACRO CODE UPDATED [ Edited ] Options Posted in reply to phullathi Thursday - last edited 3 hours ago /* Author PRAKASH HULLATHI */ /*CREATING THE DATA FOR MULTICOLLINEARITY*/ %MACRO REMOVE_MULTICOLLINEARITY(DATASET=,YVAR=,VIF_CUTOFF=); /*taking output of all variables*/ PROC CONTENTS DATA=&DATASET. VARNUM OUT=T; RUN; /*filter only numeric variables excluding dependent and date variables*/ DATA T1; SET T; KEEP NAME ; WHERE TYPE=1 AND NAME NOT IN("&yvar.") and FORMAT not in('DATE') ;/* Remove target and date variables*/ RUN; /*creating macro for independent variables*/ PROC SQL NOPRINT; SELECT NAME INTO : XVARS SEPARATED BY ' ' FROM T1; QUIT; %PUT independent_variables=&XVARS; /*running the regression model till independent variables vif< specified vif_cutoff*/ %DO %UNTIL (%SYSEVALF(&MAX_VIF.<=&VIF_CUTOFF.) ); /*taking the output of independent variables vif by removing the intercept*/ ODS OUTPUT PARAMETERESTIMATES=PAREST2; PROC REG DATA=&DATASET. ; MODEL &YVAR.= &XVARS. / VIF ; RUN; QUIT; /*dropping the independent variables with missing vif value*/ DATA T11; SET PAREST2; IF VarianceInflation NOT IN(.) ; RUN; /*sorting the vif value by descending order*/ PROC SORT DATA=PAREST2 OUT=PAREST2_SORT ; BY DESCENDING VarianceInflation; RUN; /*considering the highest vif value */ DATA PAREST2_SORT_2; SET PAREST2_SORT; IF _N_=1; RUN; /*creating the macro for highest vif value*/ PROC SQL NOPRINT; SELECT VARIABLE INTO: REMOVE_VAR FROM PAREST2_SORT_2; QUIT; /*dropping the highest vif value variable*/ PROC SQL NOPRINT ; SELECT Variable INTO: XVARS SEPARATED BY ' ' FROM T11 WHERE VARIABLE NOT IN("&REMOVE_VAR.","Intercept") ; QUIT; /*getiing the highest vif value*/ PROC SQL NOPRINT; SELECT MAX(VarianceInflation) INTO: MAX_VIF FROM PAREST2; QUIT; %PUT max_vif=&MAX_VIF. variable_removed=&REMOVE_VAR. ; %END; %MEND REMOVE_MULTICOLLINEARITY; %REMOVE_MULTICOLLINEARITY(DATASET=sashelp.cars,YVAR=MPG_City,VIF_CUTOFF=10) /* after running the above sas macro code for multicollinearity then run the below code */ /* final data set with no multicollinearity variables*/ data NO_MULTICOLLINEARITY; SET PAREST2; KEEP VARIABLE; RUN; PROC SQL NOPRINT; SELECT VARIABLE INTO : XVARS_final SEPARATED BY ' ' FROM NO_MULTICOLLINEARITY WHERE VARIABLE NOT IN("Intercept"); QUIT; PROC REG DATA=SASHELP.CARS; MODEL MPG_City=&XVARS_final./ VIF ; RUN; QUIT;
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