Hi!
We´re taking Big data analytics as an elective and have been stuck for a long time, please try to understand where we are stucked.
We have had applied econometrics last year where we had OLS, heterosked. time series, stationarity etc and finally ARIMA model. However, my understanding is not broad enough to make this forecasting model (therefore, what I write might not be what is correct).
We have built our own input excel sheet where we have listet the APPLE stock price, date, indexed search on iphone, mac etc from google trend, and nasdaq price. Further, built logged values and diflog to returns in SAS. We have tried to build an easy model in arima, and are still working with it (trends, stationarity issues, getting the best lags etc). I am not asking you to do out assignment, but explain because we have been stuck with this problem for a long time..
So, we have tried to make a forecast (we did not learn the forecasting CODES last year, but building ARIMA.)
We have tried to delete 10% of the latest dates/observations for building the "test" set out from the training set. The problem is that we dont understand our teachers codes (she has explained it well and she is a good teacher), but here are some of the codes for forecasting which we just dont get correct in SAS (or dont understand where the codes gets the numbers from/what we have to calculate before making the forecasting).
* Step 1 – we make a copy of the variable we want to forecast out of sample. The result is saved in the temporary data set work.a;
data a;
set data.assignment1;
if date < '1 dec2014'd then return_f = return; else return_f = .;run; quit;
* Step 2 – we run a regression and create forecasts P_, and upper and lower confidence limits ucl_ and lcl_;
ods noproctitle;
ods graphics / imagemap=on;
proc reg data=WORK.A alpha=0.05 plots(only)=(diagnostics residuals rstudentbypredicted observedbypredicted);
model return_f=like1 omx /;
output out=WORK.Reg_stats p=p_ lcl=lcl_ ucl=ucl_ r=r_ student=student_ rstudent=rstudent_;
run;quit;
*step 3: creating the graph. You can drop and drag to get the first line but need to make changes to the code to obtain more than one line – a series statement for each
ods graphics / reset imagemap;
/*--SGPLOT proc statement--*/
proc sgplot data=WORK.REG_STATS; ; /*--Scatter plot settings--*/
series x=Date y=return / lineattrs=(color=blue pattern=solid)transparency=0.0 name='actual';
series x=date y=P_ / lineattrs=(color=red pattern=solid) transparency=0.0 name='predicted';
series x=date y=lcl_ / lineattrs=(color=black pattern=shortdash)transparency=0.0 name='lower';
series x=date y=ucl_ / lineattrs=(color=black pattern=shortdash)transparency=0.0 name='upper';
refline '01Dec2014'd / axis=x;
/*--X Axis--*/ xaxis grid;
/*--Y Axis--*/ yaxis grid;
run;ods graphics / reset;
Is it possible we dont understand the basis or the coding?? Where/how is the out sheet made and what is needed for making this forecast? And, we dont get the results or we don´t understand the basis (either or). Do we use arima, do we lag and make a simple forecast (or naive)? or what? We´re in the newest SAS (9.4) and attached is an old version of our dataset ...........HELP.
