How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model

Cnord — Fri, 31 Mar 2017 05:20:48 GMT

I have managed to get an output of this coding which indicates which model with parameter p,d and h is the best fit model. However, I am stucked on how to forecast the future price with lead=6 with the p=8, d=8 and h=1. Can anyone help me out ? I am using SAS 9.4 and this model is functional coefficient autoregressive model.

The coding for fiding the best fit model is as follow:

proc import out=pepper
datafile='C:\Downloads\WPJan97toDec15.xls'
dbms=excel replace;
sheet='Sheet1';
getnames=yes;
run;

proc print data=pepper;
run;

Proc iml;
use pepper;
read all into y;
pdh=j(1,4,999);
print pdh;
APEh=j(4,1,0);
print APEh;
u0=sum(y)/nrow(y);
n=nrow(y);
sum=sum(y);
print sum;
print n;
print u0;
do p=1 to 8;
do d=1 to p;
x0=j(nrow(y),p,0);
do i= p+1 to nrow(y);
x0[i,]=y[i-1:i-p]`;
end;
do h=0.1 to 1 by 0.1;
do j=1 to 4;
t=nrow(y)-(7*j);
n=t-p;
x=j(t,p,0);
u=j(t,1,0);
do i= p+1 to t;
x[i,]=y[i-1:i-p]`;
u[i]=y[i-d];
end;
x1=x[p+1:t,];
u1=u[p+1:t,];
w=j(n,n,0);
w1=j(n,1,0);
x2=j(n,p,1);
do i=1 to n;
ind=(u1[i]-u0)/h;
if (ind<=1) then do;
w[i,i]=(0.75/h)*(1-((u1[i]-u0)*(u1[i]-u0))/(h*h));

w1[i,]=w[i,i];
x2[i,]=x1[i,]*(u1[i]-u0);
end;
else do;
w[i,i]=0;
w1[i,]=w[i,i];
x2[i,]=x1[i,]*(u1[i]-u0);
end;
end;
Xcurl=j(n,2*p,0);
xcurl=xl||x2;
y1=y[p+1:t,];
beta=inv(xcurl`*w*xcurl)*(xcurl`*w*y1);
beta1=beta[1: p,];
yhat=xcurl*beta;
error=y1-yhat;
apeerror=j(7,1,0);
apeerror=error[n-7*j+1:n-7*j+7,];
APEh[j]=(1/7)*apeerror`*apeerror;
end;
APE=sum(APEh)/4;
pdh=pdh//(p||d||h||APE);
end;
end;
end;
pdh=pdh[2:nrow(pdh),];
minAPE=min(pdh[,4]);
do i=1 to nrow(pdh);
if (pdh[i,4]=minAPE) then rw=i;
end;
result=pdh[rw,];
print beta1;

Re: How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model

Ksharp — Fri, 31 Mar 2017 13:29:53 GMT

calling @Rick_SAS

Re: How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model

Cnord — Sat, 01 Apr 2017 14:30:40 GMT

I also facing a trouble that my result for beta1 and minAPE is extremely large. I don't know what causes it to be like this.

topic How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model in SAS Forecasting and Econometrics

How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model

Re: How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model

Re: How to forecast Functional Coefficient Autoregressive Model after finding out the best fit model