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Holt-Winters Damped Method for Timeseries Forecasting in SAS?

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Holt-Winters Damped Method for Timeseries Forecasting in SAS?

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?


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‎06-29-2016 09:08 AM
SAS Employee
Posts: 416

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

Posted in reply to lukesirakos

Hello -

Correct, it's not the same thing.

We are working on adding these models in a later release.

Your best bet currently is to use SAS/IML I would think.

Thanks,

Udo

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SAS Employee
Posts: 416

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

Posted in reply to lukesirakos

Hello -

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...

Thanks,

Udo

 

New Contributor
Posts: 4

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

That is not the same thing, what I am looking for is the Holt-Winters method with multiplicative seasonality and a damped trend.

 

MODEL=WINTERS gives me the Holt-Winters multiplicative method but there is not a version for a damped trend.

Solution
‎06-29-2016 09:08 AM
SAS Employee
Posts: 416

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

Posted in reply to lukesirakos

Hello -

Correct, it's not the same thing.

We are working on adding these models in a later release.

Your best bet currently is to use SAS/IML I would think.

Thanks,

Udo

SAS Employee
Posts: 416

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

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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