topic How to forecast a mean revert process in SAS Procedures https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137609#M37026 <HTML><HEAD></HEAD><BODY><P>HI,</P><P></P><P>I Want to forecast a mean revert process. The process is as following, y(t) = y(t-1) + a(b-y(t-1)). Here y(t-1) is lagged value for y(t). This is actually an AR(1) process. I have a data set with y value from 1960/01 to 2000/12. I want to use these data to estimate a mean revert (AR(1)) process, then I want to forecast y from 2001/01 for 10 months. How to do this? I searched and found that I can use proc model to estimate this model, but don't know how to forecast. Also I found that I may use proc arima to estimate and forecast, but don't quite know how to.</P><P></P><P>thanks.</P></BODY></HTML> Sun, 09 Mar 2014 08:27:08 GMT SeanZ 2014-03-09T08:27:08Z How to forecast a mean revert process https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137609#M37026 <HTML><HEAD></HEAD><BODY><P>HI,</P><P></P><P>I Want to forecast a mean revert process. The process is as following, y(t) = y(t-1) + a(b-y(t-1)). Here y(t-1) is lagged value for y(t). This is actually an AR(1) process. I have a data set with y value from 1960/01 to 2000/12. I want to use these data to estimate a mean revert (AR(1)) process, then I want to forecast y from 2001/01 for 10 months. How to do this? I searched and found that I can use proc model to estimate this model, but don't know how to forecast. Also I found that I may use proc arima to estimate and forecast, but don't quite know how to.</P><P></P><P>thanks.</P></BODY></HTML> Sun, 09 Mar 2014 08:27:08 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137609#M37026 SeanZ 2014-03-09T08:27:08Z Re: How to forecast a mean revert process https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137610#M37027 <HTML><HEAD></HEAD><BODY><P>You should repost this over in the SAS Forecasting forum.&nbsp; I think the folks there are more likely to be able to give you the help you need.&nbsp; Also, search for posts by <A __default_attr="414047" __jive_macro_name="user" class="jive_macro jive_macro_user" data-objecttype="3" href="mailto:udo@sas"></A>.</P><P></P><P>Steve Denham</P></BODY></HTML> Mon, 10 Mar 2014 18:54:14 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137610#M37027 SteveDenham 2014-03-10T18:54:14Z Re: How to forecast a mean revert process https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137611#M37028 <HTML><HEAD></HEAD><BODY><P>Thanks. I will repost over there.</P></BODY></HTML> Mon, 10 Mar 2014 20:13:04 GMT https://communities.sas.com/t5/SAS-Procedures/How-to-forecast-a-mean-revert-process/m-p/137611#M37028 SeanZ 2014-03-10T20:13:04Z