topic Damped Trend & Multiplicative Seasonality in SAS Forecasting and Econometrics

Damped Trend & Multiplicative Seasonality

BCNAV — Tue, 20 Jun 2017 12:30:08 GMT

I think this has been asked before, but has SAS implemented Holt Winters Damped Trend with Multiplicative Seaonsality yet?

Thanks

Re: Damped Trend & Multiplicative Seasonality

mitrov — Tue, 20 Jun 2017 14:43:46 GMT

Not yet. These are the models supported by proc ESM.

http://go.documentation.sas.com/?docsetId=etsug&docsetVersion=14.2&docsetTarget=etsug_esm_syntax04.htm&locale=en

Re: Damped Trend & Multiplicative Seasonality

BCNAV — Tue, 20 Jun 2017 16:00:51 GMT

Thank you. I gather there is no way to alter the damping factor at all to delay the damping factor to later forecasted dates? It tends to converge rather quickly.

Re: Damped Trend & Multiplicative Seasonality

mitrov — Tue, 20 Jun 2017 18:39:44 GMT

Not with proc ESM, it does not allow to specify the value of the parameters. The parameter values are optimized based on the data.

I would suggest looking also at UCM models (PROC UCM). UCM models are somewhat similar to EMS models, in that they decompose the series into components. They do not allow multiplicative models, but they are more flexible in terms of the components, allow the user of regressons, and you can specify the values of the parameters if you wish.