HPFDIAGNOSE Procedure Enhancements

New features have been added to each release to enable you to better control model generation.

SAS High-Performance Forecasting 2.3 introduced the following new features:

• The DELAYEVENT= option specifies the delay lag for the events. If the option is not specified, the delay lag for the events is set to zero by default.

• The DELAYINPUT= option specifies the delay lag for the inputs. If the option is not specified, the delay lag for the inputs is chosen appropriately by the procedure.

• The ENTRYPCT= option specifies a threshold to check the percentage increment of the criterion between two candidate models. The ENTRYPCT=value should be in the range (0,100); the default is ENTRYPCT=0.1 (0.1%).

• The NODIAGNOSE option specifies that the series is not to be diagnosed. If the INSELECTNAME= option and OUTEST= option are specified, the existing model specification files are written to the OUTEST data set.

• The OUTPROCINFO= option specifies the output data set to contain the summary information of the processing done by the HPFDIAGNOSE procedure. This option is particularly useful for easy programmatic assessment of the status of the procedure’s execution via a data set instead of looking at or parsing the SAS log.

• The OUTLIER=(ENTRYPCT= ) option specifies a threshold to check the percentage increment of the criterion between two candidate models. The ENTRYPCT=value should be in the range (0,100); the default is ENTRYPCT=0.1 (0.1%). The value of the OUTLIER=(ENTRYPCT= ) option overrides the value of the ENTRYPCT= option in the HPFDIAGNOSE statement.

• The REFINEPARMS= option specifies that insignificant parameters of the final model are to be refined, identifies the factors to refine, and identifies the order of factors.

• The RETAINCHOOSE option specifies that the PROC HPFSELECT CHOOSE= option is respected when re-diagnosing series.

• The POSITIVE or NEGATIVE option is specified in the INPUT statement followed by the REQUIRED= option such as REQUIRED=YES(POSITIVE) and REQUIRED=MAYBE(NEGATIVE). When the REQUIRED=YES(POSITIVE) option is specified, if its coefficient is negative, then the input variable drops out from the model.

SAS High-Performance Forecasting 3.1 introduces the following new features:

• The NOINT option in the ARIMAX statement suppresses the intercept (constant) term in the ARIMA model.

• The INPUTMISSINGPCT option in the PROC HPFDIAGNOSE statement specifies the size of the missing observation as a percentage of the length of the input time series.

• The TYPE=TLS option in the OUTLIER option specifies temporary level shift outliers in the ARIMA model.

• The RETAINCHOOSE=YES|NO option in the PROC HPFDIAGNOSE statement specifies that the CHOOSE= option in the HPFSELECT procedure be respected when rediagnosing series.