SAS Institute Alert Note SN-009133

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Tue Jan 28 2003 - 14:55:12 EST

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    SN-009133 ***Alert Note***

    Combine Forecasts results in incorrect Statistics of Fit when Hold-out
    Sample is specified

    Product: SAS/ETS
    Component: Forecast Menu System
    Priority: ALERT

      If Combine Forecasts is used to fit a combination forecast model in the
      Forecast Menu System, then the Statistics of Fit (such as RMSE and MAPE)
      are incorrect if a Hold-out Sample is specified.

      To correctly compute the Statistic of Fit for the combination model:

        1. Save the combination model forecasts to a SAS data set.
        2. After closing the forecasting project, use a DATA step to merge
            the forecasts with the original data set.
        3. Load the forecasting project and specify this resulting forecast
            variable as an External Forecast. The resulting Statistic of Fit
            on the External Forecast is the correct Statistic of Fit for the
            Combination Model with the Hold-out Sample.

    Keywords:
      tsfs fms time series forecast statistics of fit mape rmse incorrstat
      incorrout holdout sample combine model hold-out combination
      combine forecasts results in incorrect statistics of fit when hold-out
      sample is specified
      009133 9133

    SAS Note Revised On: Tue, 21 Jan 2003

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0
    AIX 64 bit 9 TSM0
    AIX/6000 8 TSM0
    AIX/6000 8.1 TS1M0
    AIX/6000 8.2 TS2M0
    VM/ESA (CMS) 8 TSM0
    Compaq Tru64 UNIX 8 TSM0
    Compaq Tru64 UNIX 8.1 TS1M0
    Compaq Tru64 UNIX 8.2 TS2M0
    Compaq Tru64 UNIX 9 TSM0
    HP-UX Operating Systems 8 TSM0
    HP-UX Operating Systems 8.1 TS1M0
    HP-UX Operating Systems 8.2 TS2M0
    HP-UX Itanium 9 TSM0
    HP-UX 64 bit 8.2 TS2M0
    HP-UX 64 bit 9 TSM0
    Intel ABI 8 TSM0
    Intel ABI 8.1 TS1M0
    Intel ABI 8.2 TS2M0
    Intel Itanium Processor Family(IPF) 9 TSM0
    Linux 8.2 TS2M0
    Linux 9 TSM0
    MIPS ABI 8 TSM0
    MIPS ABI 8.1 TS1M0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 8 TSM0
    OS/390 (MVS) 9 TSM0
    IBM OS/2 8 TSM0
    IBM OS/2 8.1 TS1M0
    IBM OS/2 8.2 TS2M0
    Solaris 8 TSM0
    Solaris 8.1 TS1M0
    Solaris 8.2 TS2M0
    Solaris 64 bit 8.2 TS2M0
    Solaris 64 bit 9 TSM0
    OpenVMS VAX 8 TSM0
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 8 TSM0
    OpenVMS Alpha 8.1 TS1M0
    OpenVMS Alpha 8.2 TS2M0
    OpenVMS Alpha 9 TSM0
    Windows NT 8 TSM0
    Windows NT 8.1 TS1M0
    Windows NT 8.2 TS2M0
    Windows NT 9 TSM0
    Windows 2000 Datacenter Server 8 TSM0
    Windows 2000 Datacenter Server 8.1 TS1M0
    Windows 2000 Datacenter Server 8.2 TS2M0
    Windows 2000 Datacenter Server 9 TSM0
    Windows 2000 Professional 8 TSM0
    Windows 2000 Professional 8.1 TS1M0
    Windows 2000 Professional 8.2 TS2M0
    Windows 2000 Professional 9 TSM0
    Windows 2000 Server and Advanced Server 8 TSM0
    Windows 2000 Server and Advanced Server 8.1 TS1M0
    Windows 2000 Server and Advanced Server 8.2 TS2M0
    Windows 2000 Server and Advanced Server 9 TSM0
    Windows 95 8 TSM0
    Windows 95 8.1 TS1M0
    Windows 95 8.2 TS2M0
    Windows 98 8 TSM0
    Windows 98 8.1 TS1M0
    Windows 98 8.2 TS2M0
    Windows ME 8.2 TS2M0
    Windows XP 8.2 TS2M0
    Windows XP 9 TSM0
    Windows 64 bit 9 TSM0

    No Fixes Available

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