Date: Wed, 29 Oct 2008 19:01:20 -0700
Reply-To: cgfanh@HOTMAIL.COM
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: cgfanh@HOTMAIL.COM
Organization: http://groups.google.com
Subject: Why proc phreg is superior to proc logistic in modeling
multi-snapshot samples?
Content-Type: text/plain; charset=ISO-8859-1
Hi All,
I am trying to forecast 12 month default rate for a portfolio of
accounts. To minimize seasonality or yearly effect, I take several
snapshots of the portfolio and generate 12 month's default (my
forecast target) for each snapshot. I heard someone mentioned that I
need to use proc phreg instead of proc logistic to construct the
model. It seems that proc logistic will produce bias and proc phreg
will not. Can somebody tell me why?
To illustrate the problem, let's say that I am trying to predict
default in 3 months in following portfolio:
account_number month statement x(my covariate) default (1
as default, 0 as not)
1 Jan 08 1
a 0
1 Feb 08 2
b 0
1 Mar 08 3
c 0
1 Apr 08 4
d 0
1 May 08 5
e 1
2 Apr 08 1
f 0
2 May 08 2
g 0
2 Jun 08 3
h 0
2 Jul 08 4
i 0
2 Aug 08 5
j 0
2 Sep 08 6
k 0
2 Oct 08 7
l 0
And I take snapshots at Jan 08, Apr 08 and Jul08, so I end up with the
following data:
account_number x default_within_3months
1 a 0
1 d 1
2 f 0
2 i 0
I wanted to build the model as:
proc logistic data=data; model default_within_3months = x; run;
But I was told this is not right. Could somebody let me know why? And
how I should solve this problem?
Thanks a lot.
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