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The FORECAST Procedure

Example 12.2: Forecasting Retail Sales

This example uses the stepwise autoregressive method to forecast the monthly U.S. sales of durable goods (DURABLES) and nondurable goods (NONDUR) from the SASHELP.USECON data set. The data are from Business Statistics published by the U.S. Bureau of Economic Analysis. The following statements plot the series:


   symbol1 i=spline v=dot;
   proc gplot data=sashelp.usecon;
      plot ( durables nondur ) * date = 1 /
           haxis= '1jan80'd to '1jan92'd by year;
      where date >= '1jan80'd;
      format date year4.;
   run;

The plots are shown in Output 12.2.1 and Output 12.2.2.

Output 12.2.1: Durable Goods Sales
forex02a.gif (6734 bytes)

Output 12.2.2: Nondurable Goods Sales
forex02b.gif (6136 bytes)

The following statements produce the forecast:


   title1 "Forecasting Sales of Durable and Nondurable Goods";
   
   proc forecast data=sashelp.usecon interval=month
                 method=stepar trend=2 lead=12
                 out=out outfull outest=est;
      id date;
      var durables nondur;
      where date >= '1jan80'd;
   run;

The following statements print the OUTEST= data set.


   title2 'OUTEST= Data Set: STEPAR Method';
   proc print data=est;
   run;

The PROC PRINT listing of the OUTEST= data set is shown in Output 12.2.3.

Output 12.2.3: The OUTEST= Data Set Produced by PROC FORECAST
 
Forecasting Sales of Durable and Nondurable Goods
OUTEST= Data Set: STEPAR Method

Obs _TYPE_ DATE DURABLES NONDUR
1 N DEC91 144 144
2 NRESID DEC91 144 144
3 DF DEC91 137 139
4 SIGMA DEC91 4519.451 2452.2642
5 CONSTANT DEC91 71884.597 73190.812
6 LINEAR DEC91 400.90106 308.5115
7 AR01 DEC91 0.5844515 0.8243265
8 AR02 DEC91 . .
9 AR03 DEC91 . .
10 AR04 DEC91 . .
11 AR05 DEC91 . .
12 AR06 DEC91 0.2097977 .
13 AR07 DEC91 . .
14 AR08 DEC91 . .
15 AR09 DEC91 . .
16 AR10 DEC91 -0.119425 .
17 AR11 DEC91 . .
18 AR12 DEC91 0.6138699 0.8050854
19 AR13 DEC91 -0.556707 -0.741854
20 SST DEC91 4.923E10 2.8331E10
21 SSE DEC91 1.88157E9 544657337
22 MSE DEC91 13734093 3918398.1
23 RMSE DEC91 3705.9538 1979.4944
24 MAPE DEC91 2.9252601 1.6555935
25 MPE DEC91 -0.253607 -0.085357
26 MAE DEC91 2866.675 1532.8453
27 ME DEC91 -67.87407 -29.63026
28 RSQUARE DEC91 0.9617803 0.9807752

The following statements plot the forecasts and confidence limits. The last two years of historical data are included in the plots to provide context for the forecast. A reference line is drawn at the start of the forecast period.


   title1 'Plot of Forecasts from STEPAR Method';
   
   symbol1 i=none   v=star h=2; /* for _type_=ACTUAL */
   symbol2 i=spline v=circle h=2; /* for _type_=FORECAST */
   symbol3 i=spline l=3;        /* for _type_=L95 */
   symbol4 i=spline l=3;        /* for _type_=U95 */
   
   proc gplot data=out;
      plot ( durables nondur ) * date = _type_ /
           HREF='15dec91'd
           haxis= '1jan90'd to '1jan93'd by qtr;
      where date >= '1jan90'd;
   run;

The plots are shown in Output 12.2.4 and Output 12.2.5.

Output 12.2.4: Forecast of Durable Goods Sales
forex02d.gif (7399 bytes)

Output 12.2.5: Forecast of Nondurable Goods Sales
forex02e.gif (6484 bytes)

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