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标题: SAS MACRO TO CALCULATE PDO (Points to Double Odds) OF A SCOR [打印本页]

作者: shiyiming 时间: 2010-10-22 13:24
标题: SAS MACRO TO CALCULATE PDO (Points to Double Odds) OF A SCOR
From Wensui Liu's blog

%macro get_pdo(data = , score = , y = , wt = NONE, ref_score = , target_odds = , target_pdo = ); **********************************************************************; * THIS MACRO IS TO CALCULATE OBSERVED ODDS AND PDO FOR ANY SCORECARD *; * AND COMPUTE ALIGNMENT BETAS TO REACH TARGET ODDS AND PDO *; * ------------------------------------------------------------------ *; * PARAMETERS: *; * DATA : INPUT DATASET *; * SCORE : SCORECARD VARIABLE *; * Y : RESPONSE VARIABLE IN (0, 1) *; * WT : WEIGHT VARIABLE IN POSITIVE INTEGER *; * REF_SCORE : REFERENCE SCORE POINT FOR TARGET ODDS AND PDO *; * TARGET_ODDS: TARGET ODDS AT REFERENCE SCORE OF SCORECARD *; * TARGET_PDO : TARGET POINTS TO DOUBLE ODDS OF SCARECARD *; * ------------------------------------------------------------------ *; * OUTPUTS: *; * REPORT : PDO REPORT WITH THE CALIBRATION FORMULA IN HTML FORMAT *; * ------------------------------------------------------------------ *; * AUTHOR: <a href="mailto:WENSLIU@PAYPAL.COM">WENSLIU@PAYPAL.COM</a> *; **********************************************************************; options nonumber nodate orientation = landscape nocenter; *** CHECK IF THERE IS WEIGHT VARIABLE ***; %if %upcase(&wt) = NONE %then %do; data _tmp1 (keep = &y &score _wt); set &data; where &y in (1, 0) and &score ~= .; _wt = 1; &score = round(&score., 1); run; %end; %else %do; data _tmp1 (keep = &y &score _wt); set &data; where &y in (1, 0) and &score ~= . and round(&wt., 1) > 0; _wt = round(&wt., 1); &score = round(&score., 1); run; %end; proc logistic data = _tmp1 desc outest = _est1 noprint; model &y = &score; freq _wt; run; proc sql noprint; select round(min(&score), 0.01) into :min_score from _tmp1; select round(max(&score), 0.01) into :max_score from _tmp1; quit; data _est2; set _est1 (keep = intercept &score rename = (&score = slope)); adjust_beta0 = &ref_score - (&target_pdo * log(&target_odds) / log(2)) - intercept * &target_pdo / log(2); adjust_beta1 = -1 * (&target_pdo * slope / log(2)); do i = -5 to 5; old_pdo = round(-log(2) / slope, 0.01); old_ref = &ref_score + (i) * old_pdo; old_odd = exp(-(slope * old_ref + intercept)); if old_ref >= &min_score and old_ref <= &max_score then output; end; run; data _tmp2; set _tmp1; if _n_ = 1 then do; set _est2(obs = 1); end; adjusted = adjust_beta0 + adjust_beta1 * &score; run; proc logistic data = _tmp2 desc noprint outest = _est3; model &y = adjusted; freq _wt; run; data _est4; set _est3 (keep = intercept adjusted rename = (adjusted = slope)); adjust_beta0 = &ref_score - (&target_pdo * log(&target_odds) / log(2)) - intercept * &target_pdo / log(2); adjust_beta1 = -1 * (&target_pdo * slope / log(2)); do i = -5 to 5; new_pdo = round(-log(2) / slope, 0.01); new_ref = &ref_score + (i) * new_pdo; new_odd = exp(-(slope * new_ref + intercept)); if new_ref >= &min_score and new_ref <= &max_score then output; end; run; proc sql noprint; create table _final as select &target_pdo as target_pdo, &target_odds as target_odds, a.old_pdo as pdo1, a.old_ref as ref1, a.old_odd as odd1, log(a.old_odd) as ln_odd1, a.adjust_beta0 as adjust_beta0, a.adjust_beta1 as adjust_beta1, b.new_pdo as pdo2, b.new_ref as ref2, b.new_odd as odd2, log(b.new_odd) as ln_odd2 from _est2 as a inner join _est4 as b on a.i = b.i; select round(pdo1, 1) into :pdo1 from _final; select put(max(pdo1 / pdo2 - 1, 0), percent10.2) into :compare from _final; select case when pdo1 > pdo2 then 1 else 0 end into :flag from _final; select put(adjust_beta0, 12.8) into :beta0 from _final; select put(adjust_beta1, 12.8) into :beta1 from _final; quit; %put &compare; ods html file = "%upcase(%trim(&score))_PDO_SUMMARY.html" style = sasweb; title; proc report data = _final box spacing = 1 split = "/" style(header) = [font_face = "courier new"] style(column) = [font_face = "courier new"] style(lines) = [font_face = "courier new" font_size = 2] style(report) = [font_face = "courier new"]; column("/SUMMARY OF POINTS TO DOUBLE ODDS FOR %upcase(&score) WEIGHTED BY %upcase(&wt) IN DATA %upcase(&data) /( TARGET PDO = &target_pdo, TARGET ODDS = &target_odds AT REFERENCE SCORE &ref_score ) / " pdo1 ref1 odd1 ln_odd1 pdo2 ref2 odd2 ln_odd2); define pdo1 / "OBSERVED/SCORE PDO" width = 10 format = 4. center; define ref1 / "OBSERVED/REF. SCORE" width = 15 format = 5. center order order = data; define odd1 / "OBSERVED/ODDS" width = 15 format = 14.4 center; define ln_odd1 / "OBSERVED/LOG ODDS" width = 15 format = 8.2 center; define pdo2 / "ADJUSTED/SCORE PDO" width = 10 format = 4. center; define ref2 / "ADJUSTED/REF. SCORE" width = 15 format = 5. center; define odd2 / "ADJUSTED/ODDS" width = 15 format = 14.4 center; define ln_odd2 / "ADJUSTED/LOG ODDS" width = 15 format = 8.2 center; compute after; %if &flag = 1 %then %do; line @15 "THE SCORE ODDS IS DETERIORATED BY %trim(&compare)."; line @15 "CALIBRATION FORMULA: ADJUSTED SCORE = %trim(&beta0) + %trim(&beta1) * %trim(%upcase(&score))."; %end; %else %do; line @25 "THERE IS NO DETERIORATION IN THE SCORE ODDS."; %end; endcomp; run;; ods html close; *************************************************; * END OF THE MACRO *; *************************************************; %mend get_pdo;

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