SAS/ETS Software
Automatic Forecasting
SAS/ETS software includes three procedures that produce forecasts and confidence limits for different kinds of data: the AUTOREG, ARIMA and FORECAST procedures.
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| Plot historical data... |
The AUTOREG Procedure
The AUTOREG procedure can be used to model and forecast time series data when your data can be fitted or approximated by an autoregressive model. The forecasts produced by PROC AUTOREG are dependent upon the type of model and estimation method used to fit the data.
The ARIMA Procedure
The ARIMA procedure utilizes the Box-Jenkins approach to time series data. Like PROC AUTOREG, the ARIMA procedure produces forecasts for autoregressive models. One advantage of PROC ARIMA is its ability to identify the error process underlying the time series. Additionally, PROC ARIMA enables you to fit more complicated models. The forecasts produced by the ARIMA procedure depend upon the type of model fit and the estimation method used to fit the model. In some cases, it may be more efficient to use PROC ARIMA instead of PROC AUTOREG to identify models of unknown processes.
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| ...then predict future values in a time series. |
The FORECAST Procedure
The FORECAST procedure provides quick and simple forecasting of one or more time series. It is most efficient when you want to generate quick forecasts of multiple time series without having to develop a model for each series. The ARIMA and AUTOREG procedures may produce more accurate forecasts and confidence intervals, but they require more time and input from you.
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