The FORECAST statement generates forecast values for a
time series using the parameter estimates produced by the previous
See the section "Forecasting Details" later in this chapter for more information
on calculating forecasts.
- FORECAST options;
The following options can be used in the FORECAST statement:
- ALIGN= option
controls the alignment of SAS dates used to identify output observations.
The ALIGN= option allows the following values: BEGINNING|BEG|B,
MIDDLE|MID|M, and ENDING|END|E. BEGINNING is the default.
- ALPHA= n
sets the size of the forecast confidence limits.
The ALPHA= value must be between 0 and 1.
When you specify ALPHA=, the upper and lower confidence limits
will have a confidence level.
The default is ALPHA=.05, which produces 95% confidence intervals.
ALPHA values are rounded to the nearest hundredth.
- BACK= n
specifies the number of observations before the end of the data
that the multistep forecasts are to begin.
The BACK= option value must be less than or equal to the number of
observations minus the number of parameters.
The default is BACK=0, which means that the forecast starts at the
end of the available data.
The end of the data is the last observation for which a noise value
can be calculated.
If there are no input series, the end of the data is the last nonmissing
value of the response time series.
If there are input series, this observation can precede the last
nonmissing value of the response variable,
since there may be missing values for some of the input series.
- ID= variable
names a variable in the input data set that identifies the
time periods associated with the observations.
The ID= variable is used in conjunction with the INTERVAL= option
to extrapolate ID values from the end of the input data to
identify forecast periods in the OUT= data set.
If the INTERVAL= option specifies an interval type,
the ID variable must be a SAS date or datetime variable
with the spacing between observations indicated by the INTERVAL= value.
If the INTERVAL= option is not used, the last input value of the
ID= variable is incremented by one for each forecast period to
extrapolate the ID values for forecast observations.
- INTERVAL= interval
- INTERVAL= n
specifies the time interval between observations.
See Chapter 3, "Date Intervals, Formats, and Functions," for information on valid INTERVAL= values.
The value of the INTERVAL= option is used by PROC ARIMA to extrapolate
the ID values for forecast observations
and to check that the input data are in order
with no missing periods.
See the section "Specifying Series Periodicity"
later in this chapter for more details.
- LEAD= n
specifies the number of multistep forecast values to compute.
For example, if LEAD=10, PROC ARIMA forecasts for ten periods
beginning with the end of the input series
(or earlier if BACK= is specified).
It is possible to obtain fewer than the requested number of forecasts if a
transfer function model is specified and insufficient data are available to
compute the forecast.
The default is LEAD=24.
includes only the final forecast observations
in the output data set, not the one-step
forecasts for the data before the forecast period.
suppresses the normal printout of the forecast
and associated values.
- OUT= SAS-data-set
writes the forecast (and other values) to an output data set.
If OUT= is not specified, the OUT= data set specified in
the PROC ARIMA statement is used.
If OUT= is also not specified in the PROC ARIMA statement,
no output data set is created.
See the section "OUT= Data Set" later in this chapter for more information.
prints the FORECAST computation throughout the whole data set.
The forecast values for the data before the
forecast period (specified by the BACK= option) are one-step forecasts.
specifies the variance term used in the formula for computing forecast
standard errors and confidence limits. The default value is the Variance
Estimate computed by the preceding ESTIMATE statement. This option is
useful when you wish to generate forecast standard errors
and confidence limits based on a published model. It would often
be used in conjunction with the NOEST option in the preceding
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.