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Prediction Error Variance

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Contributor
Posts: 24

Prediction Error Variance

While estimating an Unobseved Components Model how can i get the prediction error variance in my output?
SAS Employee
Posts: 11

Re: Prediction Error Variance

You can use the OUTFOR= option in the FORECAST statement. The table contains the "STD" column which stores the standard error of prediction. Is that what you want?

 

You can also refer to the online help doc of UCM procedure:

http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_ucm_sect036.ht...

Contributor
Posts: 24

Re: Prediction Error Variance

 

Thank you for your reply. I require some common diagnostic statistics such as (Predicted error variance

the one step ahead prediction errors, the normality statistic based on the third and fourth moments, heteroscedasticity statistic based on the ratio of the sample for the first one third of the prediction errors, the Box-Ljung serial correlation statistics, Durbin Watson) I have looked into the outfor=option but could not get these statistics (though I was able to get several diagnostic graphs).

Think you

SAS Employee
Posts: 11

Re: Prediction Error Variance

Use ODS table options to trieve more statistics. For example, the following statements can provide you the one step ahead prediction errors, the normality statistic.

   ods output FitStatistics = fitstat;
   ods output FitSummary = fits;

 

More info on ODS output tables please check

http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_ucm_sect034.ht...

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