Overview (PREDICT command)

PREDICT specifies the observations that mark the beginning and end of the forecast period. If the forecast period extends beyond the length of the series, PREDICT extends the series in the active dataset to allow room for the forecast observations.

Basic Specification

The minimum specification on PREDICT is either the start or the end of the range, or it is keyword THRU. PREDICT sets up a forecast period beginning and ending with the specified dates or case numbers. The default starting point is the observation immediately after the end of the series or, if USE is specified, the observation immediately after the end of the use range (the historical period). The default end is the last observation in the series.

Operations

  • PREDICT is executed when the data are read for the next forecasting procedure (for example, CURVEFIT in the Core system, and 2SLS in the Regression add-on module).
  • PREDICT is ignored by non-forecasting procedures.
  • Case number specifications refer to the sequential numbers that are assigned to cases as they are read.
  • If the forecast period extends beyond the length of the series, PREDICT extends the series in the active dataset to allow room for the forecast observations.
  • New observations that are added to the end of existing series will contain non-missing date variables, forecast values (variable FIT#n), confidence interval limits (variables LCL#n and UCL#n), and, for ARIMA models, standard error of the predicted value (SEP#n). For all other variables, including the original series, the new cases will be system-missing.
  • PREDICT cannot forecast beyond the end of the series for ARIMA with regressors and 2SLS. However, PREDICT can forecast values for the dependent variable if the independent variables have valid values in the predict period.
  • If the use and predict periods overlap, the model is still estimated by using all observations in the use period.
  • USE and PREDICT can be used together to perform forecasting validation. To do this, specify a use period that ends before the existing end of the series, and specify a predict period starting with the next observation.
  • If there is a gap between the end of the use period and the start of the specified predict period, the program uses the first observation after the end of the use period as the start of the predict period. (This setting is the default.)
  • The DATE command turns off all existing USE and PREDICT specifications.
  • PREDICT remains in effect in a session until it is changed by another PREDICT command or until a new DATE command is issued.
  • If more than one forecasting procedure is specified after PREDICT, the USE command should be specified between procedures so that the original series—without any new, system-missing cases—will be used each time. Alternatively, you can specify

    TSET NEWVAR = NONE

    before the first forecasting procedure so that you can evaluate model statistics without creating new variables or adding new cases with missing values to the original series.

Limitations

A maximum of one range (one start and/or one end) can be specified per PREDICT command.