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 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:

```
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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