BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
jaweriahh
Obsidian | Level 7

I have a very simple question. I am running an Unobserved Components Model to decompose and forecast my data. I transform my data into log and then run the model. My code is given below

 

 

proc ucm data = metals;
id year interval = year;
model metal_indices=level1988;
level variance=0 noest;
slope plot=smooth;
cycle plot=smooth;
cycle plot=smooth;
estimate back=6;
forecast back=6 lead=6 plot=decomp;
run;

 

As I am using the log form of data after I obtain my forecasts and parameters I need to transform the data back. What code should I use for it?

1 ACCEPTED SOLUTION

Accepted Solutions
udo_sas
SAS Employee

Hello -

As an example see "Predicting with model BSM4" chapter of this very nice paper called "the unobservable components model" by Prof. Tom Fomby of Department of Economics, Southern Methodist University available here: http://faculty.smu.edu/tfomby/eco5375/data/Unobservable%20Components%20Models/The%20Unobservable%20C... - a SAS program called BSM.sas that can be found in the appendix of this document.

Thanks,

Udo

View solution in original post

2 REPLIES 2
udo_sas
SAS Employee

Hello -

As an example see "Predicting with model BSM4" chapter of this very nice paper called "the unobservable components model" by Prof. Tom Fomby of Department of Economics, Southern Methodist University available here: http://faculty.smu.edu/tfomby/eco5375/data/Unobservable%20Components%20Models/The%20Unobservable%20C... - a SAS program called BSM.sas that can be found in the appendix of this document.

Thanks,

Udo

jaweriahh
Obsidian | Level 7
Thank you very much i used the code and it worked.

hackathon24-white-horiz.png

2025 SAS Hackathon: There is still time!

Good news: We've extended SAS Hackathon registration until Sept. 12, so you still have time to be part of our biggest event yet – our five-year anniversary!

Register Now

Discussion stats
  • 2 replies
  • 1635 views
  • 0 likes
  • 2 in conversation