OUTPUTFILTER Subcommand (TSAPPLY command)

The OUTPUTFILTER subcommand controls which models are included in the model statistics table (MODELSTATISTICS subcommand), detailed model output (MODELDETAILS subcommand), and time series plots (SERIESPLOT subcommand).

  • By default, all models are included in the output. OUTPUTFILTER can be used to display only the best-fitting or worst-fitting models (or both). If you request both, two sets of output are displayed.
  • If model parameters are not reestimated, models are selected based on goodness-of-fit statistics that are loaded from the model file.
  • OUTPUTFILTER is ignored if no output is requested on the MODELSTATISTICS, MODELDETAILS, or SERIESPLOT subcommands.
  • OUTPUTFILTER has no effect on output from the MODELSUMMARY subcommand.

Example

PREDICT THRU YEAR 2006 MONTH 6.
TSAPPLY
  /MODELDETAILS PRINT=FORECASTS
  /OUTPUTFILTER DISPLAY=[BESTFIT(N=5) WORSTFIT(PCT=10)]
  /MODEL FILE='/models/models.xml'.
  • The output consists of two sets of results: those results for the 5 best-fitting models and those results for models with fit values in the bottom 10%. The stationary R-squared value is used as the goodness-of-fit measure.

DISPLAY Keyword

The DISPLAY keyword controls which models are included in MODELSTATISTICS, MODELDETAILS, and SERIESPLOT output.

  • By default, all models are displayed (DISPLAY=ALLMODELS).
  • To display only those models with extreme goodness-of-fit values, specify BESTFIT, WORSTFIT, or both, in square brackets. One or both keywords must be specified.

ALLMODELS. All models are displayed. All models that could be loaded (REESTIMATE=NO) or computed (REESTIMATE=YES) are shown. This setting is the default.

BESTFIT. Models having the highest fit values are shown. To display the models with the N highest fit values, specify BESTFIT followed by N=count in parentheses—for example, BESTFIT(N=5). The count must be a positive integer. If the count exceeds the number of estimated models, all models are shown. To display the models with fit values in the top N%, specify PCT=percent in parentheses. For example, BESTFIT(PCT=5) displays models with fit values in the top 5% among estimated models. The percentage value must be greater than zero and less than 100.

WORSTFIT. Models having the lowest fit values are shown. To display the models with the N lowest fit values, specify WORSTFIT followed by N=count in parentheses—for example, WORSTFIT(N=5). The count must be a positive integer. If the count exceeds the number of models estimated, all models are shown. To display the models with fit values in the lowest N%, specify PCT=percent in parentheses. For example, WORSTFIT(PCT=5) displays models with fit values in the bottom 5% among estimated models. The percentage value must be greater than zero and less than 100.

MODELFIT Keyword

The MODELFIT keyword specifies the fit measure that is used to filter models. MODELFIT is ignored if DISPLAY=ALLMODELS.

Specify one of the following options. (For detailed definitions of the following terms, see Goodness-of-Fit Measures (TSAPPLY command).)

SRSQUARE. Stationary R-Square. This setting is the default.

RSQUARE. R-Square.

RMSE. Root Mean Square Error.

MAPE. Mean Absolute Percentage Error.

MAE. Mean Absolute Error.

MAXAPE. Maximum Absolute Percentage Error.

MAXAE. Maximum Absolute Error.

NORMBIC. Normalized Bayesian Information Criterion (BIC).