Could you please let me know how to add proc diagnose procedure inside SAS forecast studio? Since I want model to select best input variables in forecast studio. After the proc hpfdiagnose step, should I also write proc hpfengine stpe to generate the forecast?
SAS Forecast Studio does not support a coding interface. You will have to write your SAS code using your favorite code editor in either SAS Studio, SAS Enterprise Guide, or Display Manager. There are ways to incorporate you models to SAS Forecast Studio, but I would not to understand better what you are trying to accomplish.
Very high level: PROC HPFDIAGNOSE will build statistical forecasting models for you - PROC HPFENGINE will execute them.
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