Hello -
Provided I understand correctly what you would like to archive, I think the answer is to run ESM several times using the BACK= option and to merge the results of each run.
Here is an illustration of what I'm referring to: I running ESM 12 times with a lead time of one while decreasing the out-of-sample size for each run and keeping the prediction of each run.
Hope that helps.
Thanks,
Udo
%macro esm(value);
%do i=&value. %to 1 %by -1;
proc esm data=sashelp.air out=_null_ outfor=work.outfor&i. lead=1 back=&i.;
id date interval=month;
forecast air / method=winters;run;
data outfor&i.;
set outfor&i.(keep=actual predict date) end=last;if last;
run;
%end;
data result;
set outfor1-outfor12;
by date;
run;
%mend;
%esm(12)
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