topic Re: Calculate prediction bands in Proc ESM in SAS Forecasting and Econometrics

Calculate prediction bands in Proc ESM

Kishore_Kumar — Tue, 16 May 2017 13:07:27 GMT

Hi All,

I ran Holt winters additive time series model on my time series. As a default outputs, I have got 95% confidence interval for my forecast in one of the SAS output summary. Is there any way that I can get prediction intervals for forecast in the outputs as well? Prediction interval is different from confidence interval.

Please let me know.

Thanks!

Kishore

Re: Calculate prediction bands in Proc ESM

mitrov — Tue, 16 May 2017 17:30:17 GMT

Hi,

Are you using PROC ESM or PROC forecast?

If using PROC ESM, the OUTFOR data set contains the prediction intervals. See http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/etsug_esm_details10.htm#etsug_esm000993

If using PROC FORECAST, I encourage you to use PROC ESM instead, which superseeded PROC FORECAST. See here:

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_forecast_overview.htm

Michele

Re: Calculate prediction bands in Proc ESM

Kishore_Kumar — Wed, 17 May 2017 12:34:40 GMT

Thanks for your reply. I was getting confused between CIs & PIs. As you clarified in the case of PROC ESM it would be PI by default. Thanks a ton.

Re: Calculate prediction bands in Proc ESM

mitrov — Wed, 17 May 2017 14:44:52 GMT

You are correct that the documentation is a bit confusing in that. I will change it to make it clearer. Thanks for pointing it out.