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SAS/ETS User's Guide

Choosing the Best Forecasting Model

The Time Series Forecasting System provides a variety of tools for identifying potential forecasting models and for choosing the best fitting model. It allows you to decide how much control you want to have over the process, from a hands-on approach to one that is completely automated. This chapter begins with an exploration of the tools available through the Series Viewer and Model Viewer. It presents an example of identifying models graphically and exercising your knowledge of model properties. The remainder of the chapter shows you how to compare models by using a variety of statistics and by controlling the fit and evaluation time ranges. It concludes by showing you how to refit existing models and how to compare models using hold-out samples.


Time Series Viewer Features

Model Viewer Prediction Error Analysis

The Model Selection Criterion

Sorting and Selecting Models

Comparing Models

Controlling the Period of Evaluation and Fit

Refitting and Reevaluating Models

Using Hold-out Samples

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