Date: Thu, 30 Oct 2008 22:46:37 -0700
Reply-To: David L Cassell <davidlcassell@MSN.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: David L Cassell <davidlcassell@MSN.COM>
Subject: Re: Why proc phreg is superior to proc logistic in modeling
multi-snapshot samples?
In-Reply-To: <0f3989ab-c4ee-4a56-8791-0d4ca43bb83d@i76g2000hsf.googlegroups.com>
Content-Type: text/plain; charset="iso-8859-1"
I imagine someone claimed that PHREG was better because it can handle data under the Cox proportional hazards model. (Which may not be appropriate at all for YOUR data.)
I personally would look to use time series modeling instead. Do you have SAS/ETS as well as SAS/STAT?
David
--
David L. Cassell
mathematical statistician
Design Pathways
3115 NW Norwood Pl.
Corvallis OR 97330
> Date: Wed, 29 Oct 2008 20:14:38 -0700
> From: cgfanh@HOTMAIL.COM
> Subject: Why proc phreg is superior to proc logistic in modeling multi-snapshot samples?
> To: SAS-L@LISTSERV.UGA.EDU
>
> 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 curve for 2 months in following portfolio:
> account_# month statement x(my covariate) default (1-
> default)
> 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(multi-snapshots):
> account_number x month default
> 1 a 1 0
> 1 a 2 0
> 1 d 1 1
> 2 f 1 0
> 2 i 1 0
>
> I wanted to build the model as:
> proc logistic data=multi-snapshots; model default = x t; run; /
> *discrete survival model*/
> 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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