topic Re: one step forecasts in test data in SAS Forecasting and Econometrics

one step forecasts in test data

mmrekabdar — Tue, 21 Nov 2017 02:27:57 GMT

I fitted a model using training data and I want to evaluate it's performance on a test data set. How the model obtained in the first step (fitted model by training data) is applied to the test data by SAS functions?

Re: one step forecasts in test data

Reeza — Tue, 21 Nov 2017 03:14:14 GMT

What SAS tool/procedure are you using?

Re: one step forecasts in test data

mmrekabdar — Tue, 21 Nov 2017 04:04:51 GMT

I'm using Proc Arima procedure

Re: one step forecasts in test data

Puwang — Tue, 21 Nov 2017 14:17:08 GMT

You can use the ESTIMATE statement options such as AR=, MA=, ... and NOEST to fix the parameter values to the estimated values you obtained in your model fitting step. See the "Options to Specify Parameter Values" section of the ESTIMATE statement documentation: http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect022.htm

Re: one step forecasts in test data

mmrekabdar — Tue, 21 Nov 2017 17:41:00 GMT

Thanks Puwang.