Forecasting Stage

The ARIMA Procedure

Forecasting Stage

To produce the forecast, use a FORECAST statement after the ESTIMATE statement for the model you decide is best. If the last model fit were not the best, then repeat the ESTIMATE statement for the best model before using the FORECAST statement.

Suppose that the SALES series is monthly, that you wish to forecast one year ahead from the most recently available sales figure, and that the dates for the observations are given by a variable DATE in the input data set TEST. You use the following FORECAST statement:


   forecast lead=12 interval=month id=date out=results;
   run;

The LEAD= option specifies how many periods ahead to forecast (12 months, in this case). The ID= option specifies the ID variable used to date the observations of the SALES time series. The INTERVAL= option indicates that data are monthly and enables PROC ARIMA to extrapolate DATE values for forecast periods. The OUT= option writes the forecasts to an output data set RESULTS. See the section "OUT= Data Set" later in this chapter for information on the contents of the output data set.

By default, the FORECAST statement also prints the forecast values, as shown in Figure 7.18. This output shows for each forecast period the observation number, forecast value, standard error estimate for the forecast value, and lower and upper limits for a 95% confidence interval for the forecast.

The ARIMA Procedure

Forecasts for variable sales
Obs	Forecast	Std Error	95% Confidence Limits
101	171.0320	0.9508	169.1684	172.8955
102	174.7534	2.4168	170.0165	179.4903
103	177.7608	3.9879	169.9445	185.5770
104	180.2343	5.5658	169.3256	191.1430
105	182.3088	7.1033	168.3866	196.2310
106	184.0850	8.5789	167.2707	200.8993
107	185.6382	9.9841	166.0698	205.2066
108	187.0247	11.3173	164.8433	209.2061
109	188.2866	12.5807	163.6289	212.9443
110	189.4553	13.7784	162.4501	216.4605
111	190.5544	14.9153	161.3209	219.7879
112	191.6014	15.9964	160.2491	222.9538

Figure 7.18: Estimated ARIMA(1,1,1) Model for SALES

Normally, you want the forecast values stored in an output data set, and you are not interested in seeing this printed list of the forecast. You can use the NOPRINT option on the FORECAST statement to suppress this output.

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