I want to implement a Hierarchical Bayes Model in SAS. My model is a Hierarchical Bayes version of a Vector Auto-regressive Model with Covariates (VARX) where individual level covariates effects are drawn from a "segment/product-level" distribution, which is in turn drawn from a "population-level" distribution. This is a quite complex model but I'd like to start with something simple like: - Y_ijt=alpha_ij*X_ijt+eps_ijt (customer level equation: where i is the customer index, j is the segment/product index and t is the time.), where - alpha_ij ~ N(alpha_j,sigma_j) (segment/product level equation) and - alpha_j ~ N(alpha_0,sigma_0) (population level equation). I know this model is not a VARX model but if I could start with a simple example that would help me to implement the complete estimator. Does anyone have any experience with the estimation of such models in SAS? Thanks in advance, Nicolas ... View more