topic how to pick the right ARIMA model in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22117#M82 <HTML><HEAD></HEAD><BODY><P>Hello -</P><P>Provided that "best" means an ARIMA model which produces the most accurate forecasts, then you might want to use one of the many forecasting accuracy statistics, see for example: <A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_tffordet_sect022.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_tffordet_sect022.htm</A> - usually it is good practice to assess accuracy using out-of-sample data (see for example: <A href="http://www.forecastingprinciples.com/files/standardshort.pdf">http://www.forecastingprinciples.com/files/standardshort.pdf</A>). </P><P></P><P>I'm assuming that you have access to SAS/ETS software, so you might want to have a look at the Time Series Forecasting System (see:<A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfintro_toc.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfintro_toc.htm</A>), which can provide some guidance for picking the most appropriate ARIMA model, see: <A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfbstmod_toc.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfbstmod_toc.htm</A></P><P></P><P>Thanks,</P><P>Udo</P></BODY></HTML> Mon, 09 Jan 2012 16:39:10 GMT udo_sas 2012-01-09T16:39:10Z how to pick the right ARIMA model https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22116#M81 <HTML><HEAD></HEAD><BODY><P>What signs and statistics shoudl I look for to know that I have the best ARIMA model?.. there's no R-squared..</P></BODY></HTML> Sat, 31 Dec 2011 17:21:22 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22116#M81 podarum 2011-12-31T17:21:22Z how to pick the right ARIMA model https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22117#M82 <HTML><HEAD></HEAD><BODY><P>Hello -</P><P>Provided that "best" means an ARIMA model which produces the most accurate forecasts, then you might want to use one of the many forecasting accuracy statistics, see for example: <A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_tffordet_sect022.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_tffordet_sect022.htm</A> - usually it is good practice to assess accuracy using out-of-sample data (see for example: <A href="http://www.forecastingprinciples.com/files/standardshort.pdf">http://www.forecastingprinciples.com/files/standardshort.pdf</A>). </P><P></P><P>I'm assuming that you have access to SAS/ETS software, so you might want to have a look at the Time Series Forecasting System (see:<A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfintro_toc.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfintro_toc.htm</A>), which can provide some guidance for picking the most appropriate ARIMA model, see: <A href="http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfbstmod_toc.htm">http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#tfbstmod_toc.htm</A></P><P></P><P>Thanks,</P><P>Udo</P></BODY></HTML> Mon, 09 Jan 2012 16:39:10 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22117#M82 udo_sas 2012-01-09T16:39:10Z how to pick the right ARIMA model https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22118#M83 <HTML><HEAD></HEAD><BODY><P> Thanks Udo, very helpful info.</P></BODY></HTML> Tue, 10 Jan 2012 02:10:01 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/how-to-pick-the-right-ARIMA-model/m-p/22118#M83 podarum 2012-01-10T02:10:01Z