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- FORECAST in Proc Arima is in-sample prediction?

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Posted 06-02-2018 02:56 PM
(2034 views)

Hello,

As forecast procedure say, "The FORECAST statement generates forecast values for a time series by using the parameter estimates produced by the previous ESTIMATE statement. See the section Forecasting Details for more information about calculating forecasts.", FORECAST in Proc Arima is in-sample prediction?

If it is, how can I do out-sample prediction? Does SAS provide a proc to do the out-sample prediction?

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Typically an "in-sample prediction" means that you want the predicted value at an observation that was used to fit the model. An "out-of-sample prediction" means that you are evaluating the model at a time value that was not in the data. Using this definition, forecasts are usually out-of-sample because you are predicting future values.

If this is not the definition that you are using, please explain what you mean.

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yes, exactly as you said, so forecast in proc arima is out-sample?

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Thanks a lot for your help!

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I have checked the results of the forecast again, It seems that the forecast with options lead= and back= cannot provide the out-of-sample forecast. ''Out-of-sample" forecast means that at every time point t, we forecast the value of time t+1 only using the information based on the time t. But the arima proc uses the information of all the observations at all time (the parameters are evaluated based on all the observations).

Am I right? If right, does SAS provide any solution to do the out-of-sample forecast?

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