I am trying to forecast flows (or sales), using US macro-economic indicators. I have used PROC UCM and PROC VARMAX for this in the past. However, I can also see other PROCs available in SAS (PROC FORECAST, PROC ARIMA etc.).
How do I select the right PROC (model) for this?
Should I be using VARMAX or ARIMAX, as the indep vars contain the exogenous vars, i.e. macro-economic indicators? If NO, then what should I use; if YES then which model in VARMAX be most suitable?
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