Information Value

/*Information Value*/


%Macro IV_Numeric(Indep_Var);



proc rank data = test out = Ranks_Var ties = mean groups = 24;

var &Indep_Var.;

ranks X_rank_&Indep_Var.;

run;



%IV_Char(Ranks_Var,X_rank_&Indep_Var.);



%Mend IV_Numeric;



%Macro IV_Char(Data_Set,Cat_Var);



proc freq data =&Data_Set.(where=(y=1)) noprint;

table &Cat_Var.*y/out=freq_out_y1 (rename=(percent=percent1 count=count1)) ;

run;



proc freq data =&Data_Set.(where=(y=0)) noprint;

table &Cat_Var.*y/out=freq_out_y0 (rename=(percent=percent0 count=count0));

run;



data Freq_Out(drop=y &Cat_Var.);

merge freq_out_y0 freq_out_y1;

by &Cat_Var.;

woe=log(percent0/percent1);

iv=(percent0-percent1)*woe;

run;



proc means data= Freq_Out SUM; run;



data Freq_Out;

length Variable_Name $32.;

set Freq_Out;

Variable_Name="&Cat_Var.";

run;



proc append base = Final data = Freq_Out force;run;



%Mend IV_Char;



%Macro All_Independent_Vars();



/* Numeric Variables */



proc sql noprint;

select count(*) into :nobs from data_chars (where=( name <> "y" and type=1));

quit;run;



data _null_;

set data_chars (where=( name <> "y" and type=1));



call symput(compress("Var"

_n_),name);

run;



%do i=1 %to &nobs.;

%IV_Numeric(&&Var&i..);

%end;



/* Char Variables */



proc sql noprint;

select count(*) into :nobs from data_chars (where=( name <> "y" and type=2));

quit;run;



data _null_;

set data_chars (where=( name <> "y" and type=2));

call symput(compress("Var"

_n_),name);

run;



%do i=1 %to &nobs.;

%IV_Char(test,&&Var&i..);

%end;



proc means data=final SUM;

class Variable_Name;

var iv;output out=final_iv(drop=_type_) sum= ;

run;



%Mend All_Independent_Vars;



proc contents data=test out=data_chars(keep=name type) noprint;

run;



%All_Independent_Vars;