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07-15-2015 02:16 PM

I'm new to SAS and I was doing some forecasting in SAS Forecast Studio on sales data and was trying to figure out the difference between these two options:

Model Select -> Use holdout sample for model selection

Forecast -> Calculate statistics of fit over an out-of-sample range

It's my understanding that in using a holdout it does things in this order:

1) remove holdout from sample

2) calculate statistics of fit for multiple models

3) choose best model

4) re-introduce holdout data

5) calculate statistics of fit over all data

With the "Calculate statistics of fit over an out-of-sample range" option can someone explain to me how this process is different?

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08-10-2015 05:37 AM

The holdout sample is used exactly as you describe. The out-of-sample calculates fit statistics for a period at the end of the series for just the selected model. In terms of usage I tend to use the holdout sample for large scale automatic model building and the out-of-sample feature when doing manual model building.