Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Scottie_T — Tue, 08 Dec 2020 15:57:36 GMT

I have attached the code I have used to generate the outputs in the pdf below.

I am struggling to find the right statements in my forecasts that would accurately forecast November 2020 and further months.Covid-19 has impacted the data and created a new level starting March 2020 to October 2020. This new level should be the starting point I know but I want to apply this level at the seasonality shown in 2017 through 2019.

All of which routinely shows November and December taking a big dip from October. The drop from October to November in the years 2017 to 2019 is around 6,000. So I would expect to create a forecast that could predict November being between 22k and 25k. I would want to forecast for 12 months and show the trend gradually getting back to pre covid volumes.

Thank you SAS community!

ods graphics on;
proc arima data=Nonship_Labor_Combined_Date plots(only)=(forecast(forecast forecastonly));
identify var=trans;
estimate p=1 q=1;
/*outlier type=(ls tc(6 12)) alpha=0.001 sigma=mse maxnum= 5 id=new_date; */
forecast lead=12 interval=month id=new_date nooutall out=results;
run;
quit;

ods graphics on;
proc ucm data=shift_trans plots=all;
id new_date interval=month;
model trans = shiftMar2020;
level;
slope variance=0 noest;season length=12 type=trig print=smooth;
irregular;
estimate;
forecast lead=12 print= (decomp forecasts);
run;

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

SteveDenham — Wed, 09 Dec 2020 14:04:15 GMT

I would recommend you re-post/move this to the Forecast and Econometrics community, where the question will be seen by people more familiar with the procedures in SAS/ETS.

SteveDenham

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Ksharp — Wed, 09 Dec 2020 14:04:40 GMT

Plz post it at Forecasting Forum . It is under SAS/ETS

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Ksharp — Wed, 09 Dec 2020 14:04:51 GMT

Plz post it at Forecasting Forum . It is under SAS/ETS

topic Time Series Forecasting Detecting a Level Shift while Forecasting Accurately in Statistical Procedures

Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately

Re: Time Series Forecasting Detecting a Level Shift while Forecasting Accurately