Overview (TCM MODEL command)
The TCM MODEL
procedure builds temporal causal
models. In temporal causal modeling, you specify a set of target series and
a set of candidate inputs to those targets. The procedure then builds an autoregressive
time series model for each target and includes only those inputs that have a causal
relationship with the target. This approach differs from traditional time series modeling
where you must explicitly specify the predictors for a target series. Since temporal
causal modeling typically involves building models for multiple related time series, the
result is referred to as a model system.
In the context of temporal causal modeling, the term causal refers to Granger causality. A time series X is said to "Granger cause" another time series Y if regressing for Y in terms of past values of both X and Y results in a better model for Y than regressing only on past values of Y.
Data Structures
Temporal causal modeling supports two types of data structures.
- Column-based data
- For column-based data, each time series field contains the data for a single time series. This structure is the traditional structure of time series data, as used by the Time Series Modeler.
- Multidimensional data
- For multidimensional data, each time series field contains the data for
multiple time series. Separate time series, within a particular field, are then identified by a set
of values of categorical fields referred to as dimension fields.
For example, sales data for different regions and brands might be stored in a single sales field, so that the dimensions in this case are region and brand. Each combination of region and brand identifies a particular time series for sales. For example, in the following table, the records that have 'north' for region and 'brandX' for brand define a single time series.
Table 1. Multidimensional data date region brand sales 01/01/2014 north brandX 82350 01/01/2014 north brandY 86380 01/01/2014 south brandX 91375 01/01/2014 south brandY 70320 01/02/2014 north brandX 83275 01/02/2014 north brandY 85260 01/02/2014 south brandX 94760 01/02/2014 south brandY 69870
Basic Specification
DATASETTINGS
subcommand with the
TIMETYPE
and TIMEVAR
keywords, a
FIELDSGROUP
subcommand, and a FIELDS
subcommand with the
TARGETS
and INPUTS
keywords.- For multidimensional data, the
DIMENSIONS
keyword on theDATASETTINGS
subcommand must be specified. - If the active dataset has a date specification, then the
DATASETTINGS
subcommand is not required. - If the observations are defined by record order, then the
TIMEVAR
keyword is not included. Record order means that the first record represents the first observation, the second record represents the second observation, and so on.
Syntax Rules
- The following subcommands are global and must appear before any
FIELDSGROUP
subcommand:DATASETTINGS
,DATAFILTER
,BUILDOPTIONS
,TARGETFILTER
,SERIESFILTER
,FILTEREDOUTPUT
,SYSTEMOUTPUT
,SAVE
,OUTFILE
, andPASSPROTECT
. - Multiple
SERIESFILTER
subcommands are allowed. - Multiple
FILTEREDOUTPUT
subcommands are allowed. If the same value of theINCLUDE
keyword appears on multipleFILTEREDOUTPUT
subcommands, then the specifications for only the last such subcommand are honored. - Multiple
FIELDSGROUP
subcommands are allowed, but at least one is required. The specified set ofFIELDSGROUP
subcommands defines a single temporal causal model system. - Multiple
FIELDS
subcommands can be specified for eachFIELDSGROUP
subcommand. - Global subcommands can be specified in any order.
- Each keyword can be specified only once within a subcommand.
- Empty subcommands are not allowed, with the one exception that the
FIELDSGROUP
subcommand is always empty. - Parentheses, equals signs, and slashes that are shown in the syntax chart are required.
- The command name, subcommand names, and keywords must be spelled in full.
Operations
- The procedure honors the
USE
command but it also has settings for specifying the estimation period. Settings on theESTIMATIONPERIOD
keyword are applied after any case selection that is specified with theUSE
command. - The procedure does not honor the
PREDICT
command. TheTCM MODEL
procedure provides an option to specify the forecast period. - The procedure does not honor the
TSET
command. TheTCM MODEL
procedure provides options for handling missing values. - The procedure does not honor the following commands:
MODEL NAME
orSAVE MODEL
. TheTCM MODEL
procedure provides the option to save the model system. - The
TDISPLAY
command does not display model systems that are saved fromTCM MODEL
.
Limitations
- The
SPLIT FILE
setting is ignored by this procedure. - Case weighting is ignored by this procedure.