Good afternoon all. I am currently trying to replicate the predicted probabilities result from a proc log in Excel for a Default Probability prediction on a sample of counterpartie. I ran the Proc Log so that Default = pred1 -- pred8 with pred 1 to 8 a series of financial ratios. I got all the estimates for my 8 predictors, the intercept calculated by SAS and the predicted= values from SAS for my sample as well. I started plugging in the MLE estimates along my predictor values, and ran the 1/(1+Exp(-(intercept+pred1*estimate1+....) formula, thinking I would get to the same probability, but it actually is not the case. Differences in the estimates of the default probabilities are huge (but the ranking/ordering is seemingly right) between the SAS prediction and mine. I must have done something wrong, but I cannot find out what... Any clue would be welcome - I am quite new at this Is there a way to get the actual values used for the calculation of the predicted probas from SAS, just in case the values used are adapted from the estimates given, or anything else ? Thank you very much for your opinion. Best, S.
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