Rolling Simulations in Forecast Studio

[andreas_zaras]

Hello,

In Forecast Studio there is a facility called rolling simulations. Is there any SAS paper (e.g. white paper or better any SAS Global Forum paper) that describes this facility? If such a paper does not exist can you propose any web site that describes the theory behind this facility? I have tried to find something about it in a several forecasting academic books wihtout any lack.

Thanks in advance for your help,

Andreas 

[Snurre_SAS]

Hi Andreas,

The Forecast Studio User's Guide contains some information. For version 12.1 you can find it on p. 237-238. The picture below is taken from the User's Guide.

The image above shows the results of a rolling simulation where the number of out-of-sample observations is 6. When back=6, 6 out-of-sample forecasts are generated using the model that was identified as the best model for this particular time series. When back=5, 5 out out sample forecasts are generated etc. These are the numbers shown in bold in the table. If you press the "Simulations Statistics" tab, various fit statistics are presented based on the out-of-sample forecasts that are calculated.

Does this help?

Cheers,

Snurre

[andreas_zaras]

Hello Snurre,

Thnaks for your answer. Sure it helps but i need something detailed about the theory behind it and the potential benefits of doing such an analysis. So i was wondering if there are any relevant papers for SAS or somewhere else where the rolling simulations methodlogy is described in detail.

Thanks again,

Andreas

[udo_sas · Accepted solution]

Hello -

There is a conference paper on rolling simulations which was not published yet - I will send it to you directly.

Thanks,

Udo

[andreas_zaras]

Thank you very much!

[DrSharma]

Hi Udo,

I am also looking for a good literature on SAS Forecast Studio.

Can you please share a copy of that paper on Rolling Simulation with me (vikas10s@gmail.com) as well.

Thanks very much in advance.

Regards

DrSharma

[udo_sas]

Hello -

We will present a paper on rolling simulations at SAS Global Forum 2014 - the paper will be available in the conference proceedings.

Thanks,

Udo

[udo_sas]

Hello -

Adding link to the rolling simulation paper to this thread: http://support.sas.com/resources/papers/proceedings14/SAS213-2014.pdf

Thanks,

Udo