Is there anyway to run a Holt-Winters Damped method in SAS? I was using this forecasting methodology in R and it was rather simple but I can't find a way to do it in SAS. Am I just missing something in the PROC ESM documentation or is it in another proc that I am not aware of?
Have you looked at the MODEL=DAMPTREND option of the FORECAST statement in PROC ESM?
Equations can be found here: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_tffordet_sect0...
PS: I should have added: if you have access to SAS Forecast Server you will be able to incorporate R models as part of your workflow: http://blogs.sas.com/content/forecasting/2011/09/19/guest-blogger-udo-sglavo-on-including-r-models-i...
If you don't have access to SAS Forecast Server, but SAS/IML and you'd like to run your R model in SAS, then check out: http://support.sas.com/documentation/cdl/en/imlug/68150/HTML/default/viewer.htm#imlug_r_toc.htm
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