The FORECAST statement uses the estimated model to forecast the time series. The output contains point forecasts and forecast statistics for the transformed and original series. Whenever forecasts or backcasts (or both) are generated and seasonal adjustment is performed, the forecasts and backcasts are appended to the original series, and the seasonal adjustment procedures are applied to the forecast or backcast (or both) extended series. If the FORECAST statement is not specified, but a regARIMA model is specified using either the ARIMA or AUTOMDL statement, then the series is extended one year ahead by default.
Tables that contain forecasts, standard errors, and confidence limits are displayed in association with the FORECAST statement. If the data is transformed, then two tables are displayed: one table for the original data, and one table for the transformed data. Data from these tables can be output to a SAS data set using ODS. The auxiliary variable _SCALE_ is included in forecast data sets that are output using ODS. The value of _SCALE_ is "Original" or "Transformed" to indicate the scale of the data. The auxiliary variable can also be used in ODS SELECT and ODS OUTPUT statements. For example, you can specify the following statements to output the forecasts on the original scale to a data set forecasts and the forecasts on the transformed scale to a data set Tforecasts:
ods output Original.ForecastCL=forecasts; ods output Transformed.ForecastCL=Tforecasts;
The following options can appear in the FORECAST statement:
specifies the number of periods ahead to forecast for regARIMA extension of the series. The default is the number of periods in a year (4 or 12), and the maximum is 60. Setting LEAD=0 specifies that the series not be extended by forecasts for seasonal adjustment. The LEAD= value also controls the number of forecasts that are displayed in Table D10.A. However, if the series is not extended by forecasts (LEAD=0), then the default year of forecasts is displayed in Table D10.A. Forecast values in Table D10.A are calculated using the method shown on page 148 of Ladiray and Quenneville (2001) based on values that are displayed in Table D10. The regARIMA forecasts affect the D10.A forecasts only indirectly through the impact of the regARIMA forecasts on the seasonal factors that are shown in Table D10.
specifies the number of periods to backcast for regARIMA extension of the series. The default is NBACKCAST=0, which specifies that the series not be extended with backcasts. The maximum number of backcasts is 60. The NBACKCAST= value also controls the number of backcasts that are output to the OUT= data set specified in the OUTPUT statement when the OUTBACKCAST option is specified.
specifies that the one-step-ahead forecasts be computed and displayed in addition to the multistep forecasts. The default is to compute and display only the multistep forecasts beginning at the forecast horizon.
determines whether backcasts are included in certain tables sent to the output data set. If OUTBACKCAST is specified, then backcast values are included in the output data set for tables A6, A7, A8, A9, A10, B1, D10, D10B, D10D, D16, D16B, and D18. The default is not to include backcasts.
determines whether forecasts are included in certain tables sent to the output data set. If OUTFORECAST is specified, then forecast values are included in the output data set for tables A6, A7, A8, A9, A10, B1, D10, D10B, D10D, D16, D16B, and D18. The default is not to include forecasts. The OUTFORECAST option can be specified in either the X11 statement or the FORECAST statement with identical results.