Many Thanks for your helpful comments, Udo! But I still am not sure I understand what the back= option does in PROC ARIMA; From the manual: "specifies the number of observations before the end of the data where the multistep forecasts are to begin. " My question is: is the PROC using the data, including the data specified by the back= option to estimate the parameters? The manual only says it begins multistep forecasts from a prior period, nothing about the data being used or not used. Also, my experiments with various values of Back= gave the same parameter values, suggesting that the proc uses up all the data... In light of this, I am not sure I understand your comment on Back= specifying the out of sample part. Could you please elaborate? As an aside, The Proc UCM manual is quite clear in its description of the Back= option BACK=integer specifies the holdout sample for the evaluation of the forecasting performance of the model. For example, BACK=10 results in treating the last 10 observed values of the response series as unobserved. A post-sample-prediction-analysis table is produced for comparing the predicted values with the actual values in the holdout period. The default is BACK=0. Is this the case with PRoc ARIMA too? Many Thanks in advance! X
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