Forecasting using SAS Forecast Server, SAS/ETS, and more

What model to use?

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Frequent Contributor
Posts: 126

What model to use?

Hi all,

I know my question  might be very general but would there be some kind of guide of what model to try to fit in every case? are there any indication on how to move accordingly?

Thanks in advance

SAS Employee
Posts: 416

Re: What model to use?

Hello -

This is a very general question indeed - but I'll take a shot at it, maybe you could provide some background for your question.

For forecasting modeling challenges exponential smoothing models will do a good job typically. Of course I'm talking about ESM with optimized parameters, which are available both in SAS/ETS (in PROC ESM) or in SAS Forecast Server. Of course they can fall short as well, in particular if there is too little history available or if your time series patterns are sporadic or intermittent.

Is this helpful at all?

Thanks

Udo

Frequent Contributor
Posts: 126

Re: What model to use?

yeah it gives an idea , lets say that i want to forecast demand for quantity with the help from some predictors, could ESM be a good option then?

Frequent Contributor
Posts: 126

Re: What model to use?

I think a more appropriate question would be which causal time series model to use, any recommendations on that?

thnx in advance

Occasional Contributor
Posts: 6

Re: What model to use?

Hi,

Assuming you what kind of variables you have i.e (independent but also categorical, interval..etc) I refer people to UCLA's site they have a pretty good chart for determining what kind of statistical test to use: Choosing the Correct Statistical Test in SAS, Stata and SPSS

Thanks,

Melissa

Frequent Contributor
Posts: 126

Re: What model to use?

Most probably i could refrase my enquiry and ask for what kind of causal time series models can be used for predicting demand?

SAS Employee
Posts: 416

Re: What model to use?

Hello -

From:

Large-Scale Automatic Forecasting Using Inputs and Calendar Events:

"Causal time series models are used to forecast time series data that is influenced by causal factors. Input variables (regressor or predictor variables) and calendar events (indicator, dummy or intervention variables) are examples of causal factors. These independent (exogenous) time series causally influence the dependent (response, endogenous) time series, and therefore can aid the forecasting of the dependent time series. Examples of causal time series models are autoregressive integrated moving averages with exogenous inputs (ARIMAX), which are also known as transfer function models, and dynamic regression models and unobserved component models (UCM), which are also known as state-space models and structural time series models."

SAS/ETS will give you access to these models in the following procedures: AUTOREG, ARIMA, UCM, or SSM.

SAS Forecast Server (and SAS Forecasting for Desktop) will automatically build causal models for you (for ARIMAX and UCM) considering both independent variables and events.

Currently the ESM procedure does not allow for independent variables.

Thanks,

Udo

Frequent Contributor
Posts: 126

Re: What model to use?

Is the first link for dowloading the white paper? Unfortunately i have only SAS Base to struggle with

Regards

SAS Employee
Posts: 416

Re: What model to use?

Yes - the first link should download the whitepaper - here is link: http://www.sas.com/reg/wp/corp/3478
Thanks,

Udo

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