Ex-Ante Forecast Model Performance with Rolling Simulations

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Given a time series data set, you can use automatic time series modeling software to select an appropriate time series model. You can use various statistics to judge how well each candidate model fits the data (in-sample). Likewise, you can use various statistics to select an appropriate model from a list of candidate models (in-sample or out-of-sample or both). Finally, you can use rolling simulations to evaluate ex-ante forecast performance over several forecast origins.

This paper by Michael Leonard, Ashwini Dixit and Udo Sglavo of SAS demonstrates how you can use SAS® Forecast Server Procedures and SAS® Forecast Studio software to perform the statistical analyses that are related to rolling simulations.