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Time series forecasting

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Super Contributor
Posts: 436

Time series forecasting

May I request someone to explain me in simple terms on how validate a time series model and also how to measure the forecast error in time series forecasting?

SAS Employee
Posts: 416

Re: Time series forecasting

Hello -

Using out-of-sample data is probably the best way to assess a forecasting model. See: https://communities.sas.com/t5/Forecasting-and-Econometrics/out-of-sample-range-and-holdout-sample/m... for more details.

When it comes to measuring the forecast error, it depends on which goal you have in mind. Mean absolute percentage error (MAPE) is a commonly used measurement, but mainly because it is easy to explain.

You may want to check out: http://www.robjhyndman.com/papers/forecast-accuracy.pdf as a start.

Thanks,

Udo

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