topic Re: Rolling Simulations in Forecast Studio in SAS Forecasting and Econometrics

Rolling Simulations in Forecast Studio

andreas_zaras — Thu, 02 May 2013 11:22:03 GMT

Hello,

In Forecast Studio there is a facility called rolling simulations. Is there any SAS paper (e.g. white paper or better any SAS Global Forum paper) that describes this facility? If such a paper does not exist can you propose any web site that describes the theory behind this facility? I have tried to find something about it in a several forecasting academic books wihtout any lack.

Thanks in advance for your help,

Andreas

Re: Rolling Simulations in Forecast Studio

Snurre_SAS — Thu, 02 May 2013 12:16:15 GMT

Hi Andreas,

The Forecast Studio User's Guide contains some information. For version 12.1 you can find it on p. 237-238. The picture below is taken from the User's Guide.

The image above shows the results of a rolling simulation where the number of out-of-sample observations is 6. When back=6, 6 out-of-sample forecasts are generated using the model that was identified as the best model for this particular time series. When back=5, 5 out out sample forecasts are generated etc. These are the numbers shown in bold in the table. If you press the "Simulations Statistics" tab, various fit statistics are presented based on the out-of-sample forecasts that are calculated.

Does this help?

Cheers,

Snurre

Re: Rolling Simulations in Forecast Studio

andreas_zaras — Thu, 02 May 2013 13:27:39 GMT

Hello Snurre,

Thnaks for your answer. Sure it helps but i need something detailed about the theory behind it and the potential benefits of doing such an analysis. So i was wondering if there are any relevant papers for SAS or somewhere else where the rolling simulations methodlogy is described in detail.

Thanks again,

Andreas

Re: Rolling Simulations in Forecast Studio

udo_sas — Thu, 02 May 2013 15:26:46 GMT

Hello -

There is a conference paper on rolling simulations which was not published yet - I will send it to you directly.

Thanks,

Udo

Re: Rolling Simulations in Forecast Studio

andreas_zaras — Wed, 08 May 2013 12:42:47 GMT

Thank you very much!

Re: Rolling Simulations in Forecast Studio

DrSharma — Thu, 06 Feb 2014 05:13:14 GMT

Hi Udo,

I am also looking for a good literature on SAS Forecast Studio.

Can you please share a copy of that paper on Rolling Simulation with me (vikas10s@gmail.com) as well.

Thanks very much in advance.

Regards

DrSharma

Re: Rolling Simulations in Forecast Studio

udo_sas — Thu, 06 Feb 2014 15:23:29 GMT

Hello -

We will present a paper on rolling simulations at SAS Global Forum 2014 - the paper will be available in the conference proceedings.

Thanks,

Udo

Re: Rolling Simulations in Forecast Studio

udo_sas — Tue, 01 Apr 2014 15:50:37 GMT

Hello -

Adding link to the rolling simulation paper to this thread: http://support.sas.com/resources/papers/proceedings14/SAS213-2014.pdf

Thanks,

Udo