JSM 2004 - Toronto

Abstract #300472

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Activity Number: 329
Type: Topic Contributed
Date/Time: Wednesday, August 11, 2004 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #300472
Title: Structural Time Series Modeling Using SAS 9.1
Author(s): Rajesh Selukar*+
Companies: SAS Institute Inc.
Address: SAS Campus Drive, Cary, NC, 27513,
Keywords: time-series ; seasonal adjustment ; state space ; structural models
Abstract:

PROC UCM is a new procedure in SAS\ETS 9.1 that provides a very flexible environment for analyzing time-series data using the Structural Time Series models, also called the Unobserved Components Models (UCM). These models represent the observed series as a sum of suitably chosen components such as trend, seasonals, cycles, and regression effects. You can use the UCM procedure to formulate very comprehensive models that bring out the salient features of the series under consideration. Structural models are applicable in the same situations where the Box-Jenkins ARIMA models are applicable; however, the structural models tend to be more informative about the underlying stochastic structure of the series. The UCM procedure can be used for time-series forecasting, model-based seasonal adjustment, and for detection of structural change. It provides extensive model diagnostics and has good plotting capabilities. The UCM procedure will be illustrated using a few examples.

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Revised March 2004