🚀 go-pugleaf

My ultimate goal is to compare different-type  regressions on panel data
sets;  some regressions have  firm-specific intercepts, others  are more
complex.   I would like  to  forecast  with  this panel  regression on a
hold-out sample,  and produce an MSE.  Is  there a SAS routine that can
use a previous model statement and forecast out of sample?

(Note that some variables may be perfectly collinear.)  It would be nice
if SAS could automatically match variables from a  "same type" data set,
especially if there are  perfectly collinear variables, which  would  of
course disturb the coefficient estimates but not the forecast.

I realize that this might be writeable with some intricate data
statements. I was hoping this was common enough a request that someone
had already done this for public consumption.

/ivo welch