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

scoring code from proc autoreg - help

Reply
New Contributor
Posts: 2

scoring code from proc autoreg - help

Hello group,

I need some help to write scoring code from proc autoreg. What is the actual code that can replicate the predicted quantities from the output out = dataset?

It's easy enough to calculate the predicted model component (using standard coefficients) but how does one incorporate the AR coefficients?

Any help will be greatly appreciated.

I'm struggling even with a simple example: consider the example given in SAS online documentation:

   data a;
      ul = 0; ull = 0;
      do time = -10 to 36;
         u = + 1.3 * ul - .5 * ull + 2*rannor(12346);
         y = 10 + .5 * time + u;
         if time > 0 then output;
         ull = ul; ul = u;
      end;
   run;

auto-reg model - produce an output dataset with predicted quatitites: QUESTION: HOW CAN I USE MODEL EFFECTS TO REPLICATE PREDICTED VALUES?

proc autoreg data=a outest = autoreg_parms;

      aut: model y = time / nlag=2 method=ml;

output out = pred_a p = pred_y ;

run;

Respected Advisor
Posts: 4,930

Re: scoring code from proc autoreg - help

Posted in reply to danilo276

There are two types of predicted values for AR models, conditional and unconditional, depending on your needs. Which one would you like to compute? See

SAS/ETS(R) 13.1 User's Guide

PG

PG
New Contributor
Posts: 2

Re: scoring code from proc autoreg - help

Thanks for your reply. I'm after the conditional mean values. The descriptions in the user guide are all nice and well for t > nlag. However, there is nothing on how to start the predicted series: the auto-regressive formula

v_t = -phi_2*v_t-2 - phi_1*v_t-1 (for AR(2) say) doesn't say how to compute v_1 and v_2. This is my whole problem.

Do you know how SAS actually does this?

Dan.

Ask a Question
Discussion stats
  • 2 replies
  • 1108 views
  • 0 likes
  • 2 in conversation