topic Re: (P,Q) order limitation in Forecast Studio in SAS Forecasting and Econometrics

(P,Q) order limitation in Forecast Studio

jlkmkl — Thu, 13 Nov 2014 18:48:59 GMT

Hello,

I'm using FS to forecast demand of energy. I've got a few questions... Can anybody help me?

The final models present "high" p and q values (for example greater than 2)... Is it possible to limit this values? What's the best way to do it?
I've also seen the p-values of the final models and thy're also "high". Is it possible to select the "best" model considering a specified cut-off p-value?

Thank you very much

Javier

Re: (P,Q) order limitation in Forecast Studio

ballardw — Thu, 13 Nov 2014 21:22:02 GMT

Are you saying you have a p-value greater than 2?! P-values should have a range of 0-1.

And for "high" p-value do you mean 0.8999 or 0.0001?

And "best" really should be considered in light of other items than just p-value. Suppose the cost of implementing model A with an associated p-value of 0.015 was half that of Model B with a p-value of 0.013. Model B may be "more significant" (not really and I don't want to get into that discussion again...) but in a decision making mode I suspect that Model A would often be the "better" model for practical purposes.

Re: (P,Q) order limitation in Forecast Studio

jlkmkl — Thu, 13 Nov 2014 23:51:02 GMT

No¡, of course i know which is the p-value range... I refer to the possibility of controlling the maximum order of the AR ( p & P) and MA ( q &Q ) parameters in SAS Forecast studio .

In reference to the other issue I found ARIMA models, select FS as champions , with non-significant parameters ( ie> 0.05 ) AR / MA and input variables ... i need to select statistically valid models, this concerns me as I want to automate the forecast process

Re: (P,Q) order limitation in Forecast Studio

udo_sas — Fri, 14 Nov 2014 13:49:27 GMT

Hello -

This thread might be of interest: https://communities.sas.com/message/196164#196164

Thanks,

Udo

Re: (P,Q) order limitation in Forecast Studio

jlkmkl — Wed, 19 Nov 2014 13:54:17 GMT

Thank you Udo ,

TBC, Sas FS does NOT allow :

limit Pand Q orders.
Select only final models with all significative parameters,... to do this, could I usethe option "Refine parameters"? .The user guide is not very clear.Could someone especify exactly what exactlymakesthis option?

Thanks in advance¡

Javier

Re: (P,Q) order limitation in Forecast Studio

udo_sas — Fri, 21 Nov 2014 22:05:27 GMT

Hello -

This option controls the "SIGLEVEL" option of the ARIMA statement in the HPFDIAGNOSE procedure. It specifies the significance level to use as a cutoff value to decide the AR and MA orders. More details about this process can be found in SAS Forecast Server Procedures User’s Guide: check out the details section of chapter 5: the HPFDIAGNOSE procedure.

Thanks,

Udo