AUXILIARY Subcommand (TSAPPLY command)

The AUXILIARY subcommand is used to specify whether model parameters are reestimated, set the confidence interval level for forecasts, set the maximum number of lags for autocorrelation and partial autocorrelation plots and tables, and specify the season length.

Example

PREDICT THRU YEAR 2006 MONTH 6.
TSAPPLY
  /MODELDETAILS PRINT=[PARAMETERS FORECASTS]
                PLOT=[RESIDACF RESIDPACF]
  /AUXILIARY REESTIMATE=YES MAXACFLAGS=36
  /MODEL FILE='/models/models.xml'.

REESTIMATE Keyword

REESTIMATE controls whether model parameters are reestimated. If REESTIMATE=NO (the default), parameter estimates that are recorded in the model file are used to produce forecasts. If REESTIMATE=YES, forecasts reflect reestimated model parameters. Outliers, if any, are always taken from the model file.

Note that if REESTIMATE=NO, any parameter estimates or goodness-of-fit statistics that are displayed in output are loaded from the model file and reflect the data that were used when each model was developed (or last updated). And if you use the OUTPUTFILTER subcommand, models will be selected on the basis of goodness-of-fit statistics that are recorded in the model file. In addition, forecasts will not take into account historical data--for either dependent or independent variables--in the active dataset. You must set REESTIMATE=YES if you want historical data to impact the forecasts. Finally, forecasts do not take into account values of the dependent series in the forecast period--but the forecasts do take into account values of independent variables in the forecast period. If you have more current values of the dependent series and want them to be included in the forecasts, you need to reestimate, adjusting the estimation period to include these values.

CILEVEL Keyword

The CILEVEL keyword sets the confidence level.

  • Specify a positive number that is less than 100.
  • The default is 95.

MAXACFLAGS Keyword

The MAXACFLAGS keyword sets the maximum number of lags displayed in residual autocorrelation and partial autocorrelation tables and plots. MAXACFLAGS is ignored if REESTIMATE=NO.

  • Specify a positive integer.
  • The default is 24.

SEASONLENGTH Keyword

The SEASONLENGTH keyword specifies the length of the seasonal period (the number of observations in one period or season) for the data.

  • To adjust the season length, specify a positive integer.
  • If SEASONLENGTH is not specified, the periodicity that is specified by using the DATE command defines the season length.
  • Note that SEASONLENGTH is used to override the date specification for the active dataset to make it consistent with the date specification from the model file. An error occurs if these two specifications are not consistent.