Turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- Home
- /
- Analytics
- /
- Forecasting
- /
- FORECAST in Proc Arima is in-sample prediction?

Options

- RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Mute
- Printer Friendly Page

🔒 This topic is **solved** and **locked**.
Need further help from the community? Please
sign in and ask a **new** question.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Posted 06-02-2018 02:56 PM
(2809 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?

1 ACCEPTED SOLUTION

Accepted Solutions

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

7 REPLIES 7

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Thanks a lot for your help!

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

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?

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Are you ready for the spotlight? We're accepting content ideas for **SAS Innovate 2025** to be held May 6-9 in Orlando, FL. The call is **open **until September 25. Read more here about **why** you should contribute and **what is in it** for you!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.