what can be the reason for having very wide confidence intervals for the predictions? Should one report these predictions, if yes how would he explain the wide C.I?
How wide is "very wide"?
Wider intervals generally come from the variability in the observed data for the number of records used. Generally a small sample will have a larger CI for a given dispersion of data than a larger sample with the same dispersion.
And with forecasts, the farther from the observed data in time the wider.
Confidence limits are based on the prediction standard errors and a chosen confidence limit size. The variance of each forecast is called the prediction error variance, and the square root of the variance is called the prediction standard error. The variance is computed from the forecast model parameter estimates and the model residual variance. Wide CI usually indicate either a poor performing model or lots of noise in your data.
Have you considered using forecast combinations, also called ensemble forecasts? They are a known technique for improving forecast accuracy and reducing the variability of the resulting forecasts. See: http://blogs.sas.com/content/subconsciousmusings/2014/06/18/combined-forecasts-what-to-do-when-one-m...
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
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