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

do you forecast the forecast in ARIMA

Reply
Super Contributor
Posts: 395

do you forecast the forecast in ARIMA

If my first step in ARIMA is to difference the data.. without any P or Q, and it produces a forecast.. Do I then have a Step 2 wiht only P and Q and the var is the FORECAST from Step 1?? or do I do it all in one step.  Therefore the differencing in Step 1 was just to decide which D level to use.. and that's it? 

SAS Employee
Posts: 416

do you forecast the forecast in ARIMA

Hello -

The analysis performed by PROC ARIMA for example is divided into three stages:

  • identification
  • estimation and diagnostic checking
  • forecasting

corresponding to the stages described by Box and Jenkins - you will find some details here: http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect003....

Thanks,

Udo

Ask a Question
Discussion stats
  • 1 reply
  • 292 views
  • 0 likes
  • 2 in conversation