topic Changes to the Data Generating Process in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Changes-to-the-Data-Generating-Process/m-p/189299#M1169 <HTML><HEAD></HEAD><BODY><P>Hi SAS Friends,</P><P>I apologize for the slightly out of place question but I figured the great resources here could help <img id="smileyhappy" class="emoticon emoticon-smileyhappy" src="https://communities.sas.com/i/smilies/16x16_smiley-happy.png" alt="Smiley Happy" title="Smiley Happy" /></P><P></P><P>My issue is that I have time-series data that trends nicely expect for this last quarter where the data generating process was changed. now some of the estimates don't trend. are there any statistical techniques i can apply to smooth out the data? i only have this last data point using the new data-generating process.</P><P></P><P>Thanks for your help,</P><P></P><P>also if you'd like to recommend a statistical/econometric forum where you think this question would be better served i'm all ears.</P></BODY></HTML> Tue, 07 Jan 2014 02:38:43 GMT SAShole 2014-01-07T02:38:43Z Changes to the Data Generating Process https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Changes-to-the-Data-Generating-Process/m-p/189299#M1169 <HTML><HEAD></HEAD><BODY><P>Hi SAS Friends,</P><P>I apologize for the slightly out of place question but I figured the great resources here could help <img id="smileyhappy" class="emoticon emoticon-smileyhappy" src="https://communities.sas.com/i/smilies/16x16_smiley-happy.png" alt="Smiley Happy" title="Smiley Happy" /></P><P></P><P>My issue is that I have time-series data that trends nicely expect for this last quarter where the data generating process was changed. now some of the estimates don't trend. are there any statistical techniques i can apply to smooth out the data? i only have this last data point using the new data-generating process.</P><P></P><P>Thanks for your help,</P><P></P><P>also if you'd like to recommend a statistical/econometric forum where you think this question would be better served i'm all ears.</P></BODY></HTML> Tue, 07 Jan 2014 02:38:43 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Changes-to-the-Data-Generating-Process/m-p/189299#M1169 SAShole 2014-01-07T02:38:43Z Re: Changes to the Data Generating Process https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Changes-to-the-Data-Generating-Process/m-p/189300#M1170 <HTML><HEAD></HEAD><BODY><P>With only a single point, I don't see how you can do much of anything.&nbsp; With a couple of points, a Kalman filter might help, but it would still be greatly influenced by the historical values. </P><P></P><P>Can you apply the new data generating process to old source data in any way, such that you could detect a level change or a multiplier?</P><P></P><P>Not much help, I'm afraid.</P><P></P><P>Steve Denham</P></BODY></HTML> Tue, 07 Jan 2014 18:37:56 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Changes-to-the-Data-Generating-Process/m-p/189300#M1170 SteveDenham 2014-01-07T18:37:56Z