HMM Procedure
FORECAST Statement
FORECAST <options>;
The FORECAST statement finds the probability distribution of the future states and the dependent variables. You can specify the following options:
- ALPHA=number
specifies the forecast confidence limit size, where number is between 0 and 1. When you specify this option, the upper and lower confidence limits define the 100
% confidence interval. By default, ALPHA=0.95, which produces 95% confidence intervals. - BACK=number
specifies the number of observations before the end of the data at which the multistep forecasts begin, where number must be less than or equal to the number of observations minus the number of lagged regressors in the model. By default, BACK=0, which means that the forecasts start at the end of the available data.
- LEAD=number
specifies the number of multistep forecast values to compute, where number must be a nonnegative integer. By default, LEAD=1, which means that a one-step-ahead forecast is performed.
- METHOD=ANALYTIC | SIMULATION
-
specifies the forecasting method. The SIMULATION option works only when you specify the TYPE=AR option in the MODEL statement. You can specify the following values:
- ANALYTIC
specifies the analytical method of forecasting.
- SIMULATION
specifies the simulation method of forecasting for autoregressive HMM.
By default, METHOD=SIMULATION for autoregressive HMM and METHOD=ANALYTIC for other types of HMM.
- NSIM=number
specifies the number of paths to be simulated in the forecasting of a regime-switching autoregression model, where number must be a positive integer. By default, NSIM=100.
- ONLINE
requests that the (multistep) forecasts be done after each observation. When you specify this option, the BACK= option is ignored.
- OUT=libref.data-table
writes the forecasting results to the specified output data table. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.
- OUTALL=libref.data-table
writes the state distributions, means, standard errors, confidence intervals, medians, and covariance matrices of forecasts for dependent variables to the specified output data table. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.