Date: Fri, 22 Sep 2006 06:50:00 -0500
Reply-To: dmka <djrk0003@COMCAST.NET>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: dmka <djrk0003@COMCAST.NET>
Subject: Re: Modelling several time series together using Proc Mixed?
Content-Type: text/plain; charset="Windows-1252"
Hi All:
David and all, here is a clarification of my problem:
Chen presented the problem below. I would like to follow up on this issue:
First, can this problem be modeled a longitudinal/panel/repeated measures
problem?
Second, suppose I have developed this model and have a new data set say
observed only at time 1 for each ID and would like to forecast the price for
each id say over 10 time periods, Is this feasible? If so how?
I have a date set which looks like this( I made up the data)
ID Time Price
1 1 10
1 2 11
......
1 100 150
2 1 9
2 2 10
........
2 100 189
.........
50 1 11
.......
50 100 190
I want to predict the value at time 101 for each different ID.
Obviously I can model 50 independent time series.
My questions are that
1. Is it possible that I can treat this data as repeated measurement and use
Proc Mixed to build
one whole model.
2. If so, how can I write the formula?
Proc Mixed data=test;
class ID;
model Price = Time ID;
repeated time / subject=ID;
I just want to catch the interaction between different IDs. But I am not
sure that Mixed model
can do that. I just began to learn the mixed model stuff. So I can easily
make mistakes on basic concepts.
Thanks
Ming
----- Original Message -----
From: "David L Cassell" <davidlcassell@MSN.COM>
To: <SAS-L@LISTSERV.UGA.EDU>
Sent: Friday, September 22, 2006 12:37 AM
Subject: Re: Modelling several time series together using Proc Mixed?
> djrk0003@COMCAST.NET wrote:
> >
> >Chen presented the problem below. I would like to follow up on this
issue,
> >but in a slightly different direction. Suppose, I have a new data set
that
> >I
> >need to score used the model developed below. For the new data set, I
would
> >like to forest for each ID over a 72 month period. Is this feasible? If
so
> >how?
> >
> >Thanks,
> >
> >Doyle.
>
> Are you saying that you want to create an entire new data set based
> on *no* values from the given ID? That does not sound reasonable.
> In a time series, you need at least *some* starting values for
> autoregressive
> models, and at least *some* starting error terms for moving average
> models, and all of the above in ARIMA(p,d,q) models where p and q are
> greater than 0.
>
> Are you going to have some starting values? Are you going to have
> a model from PROC AUTOREG to use to predict some expected values
> based on a set of regressors?
>
> Without some more detail, I can't help you much.
>
> David
> --
> David L. Cassell
> mathematical statistician
> Design Pathways
> 3115 NW Norwood Pl.
> Corvallis OR 97330
>
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