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Working with Time Series Data |

Some SAS/ETS procedures produce interleaved output data sets (like PROC FORECAST), while other SAS/ETS procedures produce standard form time series data sets. The form a procedure uses depends on whether the procedure is normally used to produce multiple result series for each of many input series in one step (as PROC FORECAST does).

The way different SAS/ETS procedures store result series in output data sets is summarized in Table 2.3.

Procedures producing standard form output data sets with fixed names for result |

series: |

ARIMA |

SPECTRA |

STATESPACE |

Procedures producing standard form output data sets with result series named by |

an OUTPUT statement: |

AUTOREG |

PDLREG |

SIMLIN |

SYSLIN |

X11 |

Procedures producing interleaved form output data sets: |

FORECAST |

MODEL |

See the chapters for these procedures for details on the output data sets they create.

For example, the ARIMA procedure can output actual series, forecast series, residual series, and confidence limit series just as the FORECAST procedure does. The PROC ARIMA output data set uses the standard form because PROC ARIMA is designed for the detailed analysis of one series at a time and so only forecasts one series at a time.

The following statements show the use of the ARIMA procedure to produce a forecast of the USCPI data set. Figure 2.5 shows part of the output data set produced by the ARIMA procedure's FORECAST statement. (The printed output from PROC ARIMA is not shown.) Compare the PROC ARIMA output data set shown in Figure 2.5 with the PROC FORECAST output data set shown in Figure 2.4.

proc arima data=uscpi; identify var=cpi(1); estimate q=1; forecast id=date interval=month lead=12 out=arimaout; run; proc print data=arimaout; run;

The output data set produced by the ARIMA procedure's FORECAST statement stores the actual values in a variable with the same name as the input series, stores the forecast series in a variable named FORECAST, stores the residuals in a variable named RESIDUAL, stores the 95% confidence limits in variables named L95 and U95, and stores the standard error of the forecast in the variable STD.

This method of storing several different result series as a standard form time series data set is simple and convenient. However, it only works well for a single input series. The forecast of a single series can be stored in the variable FORECAST, but if two series are forecast, two different FORECAST variables are needed.

The STATESPACE procedure handles this problem by generating forecast variable names FOR1, FOR2, and so forth. The SPECTRA procedure uses a similar method. Names like FOR1, FOR2, RES1, RES2, and so forth require you to remember the order in which the input series are listed. This is why PROC FORECAST, which is designed to forecast a whole list of input series at once, stores its results in interleaved form.

Other SAS/ETS procedures are often used for a single input series but can also be used to process several series in a single step. Thus, they are not clearly like PROC FORECAST nor clearly like PROC ARIMA in the number of input series they are designed to work with. These procedures use a third method for storing multiple result series in an output data set. These procedures store output time series in standard form (like PROC ARIMA does) but require an OUTPUT statement to give names to the result series.

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