Recent content by noetsi

  1. noetsi

    Newey-West Standard Errors

    It turns out PROC AUTOREG does do this after all (and this deals with hetero which is why they are called Newey West HAC sometimes PROC AUTOREG .... Model..../COVEST =NeweyWest;
  2. noetsi

    Exponential smoothing models

    Thanks for your comments ondansetron. He believes that unless there is a theoretical reason for something to be true you should not model it. My guess is that someone made this point to him in the context of methods like regression (where many argue a variable should only be in a model if it...
  3. noetsi

    Exponential smoothing models

    I am generating predictions of future data using common exponential smoothing models. I am predicting a hold out data set of the last 12 months with the previous 37 months and choosing the best ESM model to predict with this way (as is common). The ones I am choosing between are linear...
  4. noetsi

    Newey-West Standard Errors

    Proc Autoreg will address autocorrelation if you get the lags correct - but that is far from certain. Newey-West would address the problem even if you don't I would think (but I have not seen this addressed in honesty).
  5. noetsi

    Factor Analysis

    I will use the various rules of thumb to decide how many factors legitimately load. If its too many that will be an issue, but I doubt it will be. I will have to understand the factors to explain it to those I answer to. thanks all for the answers.
  6. noetsi

    Factor Analysis

    It is a continuous variable (spending). I was not sure using spending for covariance is a legitimate way to find factors :) I think Principal Component Analysis is one of the ways SAS does FA. thanks spunky
  7. noetsi

    Factor Analysis

    I have 27 categories we spend money on. I would like to reduce this to around 8 categories for analysis. I was thinking of using the amount we spent on each of these categories for the covariance. the theory is there are spending dimensions behind the formal categories (like say education). Is...
  8. noetsi

    Newey-West Standard Errors

    Can these be generated in Proc AutoReg ? They exist in PROC REG (which makes little sense for time series regression to me] and PROC MODEL which I do not know. I was hoping they exist in PROC AUTOREG, but if they do I can not find them.
  9. noetsi

    How serious are violations of regression assumptions

    No I don't have access to the program. You post information to it and it spits back results. I confirmed it does not test the regression assumptions.
  10. noetsi

    How serious are violations of regression assumptions

    I think the answer, we have not got a response to this yet, is that it makes no test of any type. It gets data, it runs linear regression, and it spits out results. There are no test of anything. I am not sure, in practice not theory, of how serious a threat this is to the conclusions. Many of...
  11. noetsi

    How serious are violations of regression assumptions

    We are considering getting a tool which runs linear regression without checking the assumptions of the method (the tool is automated, it generates linear regression based on data you put in including generating the report). The problem is that the tool does not check any regression assumptions...
  12. noetsi

    Stablility and serial correlation test for vector autoregresive models.

    One of the key features in vector autoregressive models is choosing lag lengths. A common way to do this is to use a criteria such as AIC or BIC. Often these disagree on which lag to choose. The author I am reading on VAR models suggest "stability test" and "serial correlation" test to chose...
  13. noetsi

    Comparing Actual to Budget

    You could use a MAPE as well I would think although that is used normally in time series or finance. MAPE can be done in excel, I can send it to you if you like. It basically is looking at forecasting error, but I think that is what you are doing really. It will treat each period separately...
  14. noetsi

    What product is proc iml part of.

    No the SAS rep looked at the wrong license. We never got it in the first place. I am not sure we can use it enough to justify. Its major use appears to be in simulation - and they have limited interest in that where I work. I spend most of my time reading not using statistics. Its a strange...
  15. noetsi

    What product is proc iml part of.

    The SAS rep made a mistake. We did not have it on our license. I ran it in both regular SAS and EG although there is no difference.