Date:         Sun, 23 Jan 2011 11:04:46 -0500
Reply-To:     R B <ryan.andrew.black@gmail.com>
Sender:       "SPSSX(r) Discussion" <SPSSX-L@LISTSERV.UGA.EDU>
From:         R B <ryan.andrew.black@gmail.com>
Subject:      Re: Strange forecast / prediction with TSMODEL
In-Reply-To:  <201101191748.p0JEo1pM006166@wasabi.cc.uga.edu>
Content-Type: text/plain; charset=ISO-8859-1

I haven't spent anytime examining the TSMODEL procedure, so I cannot
speak to that procedure. It may or may not be the optimal approach.
Let me just point out that if you have binary or binomial data from
which you would like to predict future probabilities, you might
consider fitting a *type* of generalized linear model/GEE. Whether
such an approach would be appropriate depends on various aspects to
your data that have yet to be detailed.

Ryan

On Wed, Jan 19, 2011 at 12:48 PM, Mark Lavender <malavender@yahoo.com> wrote:
> I've got some time series data that is confined to the range 0-1.
>
> It runs from 2006 thru Nov 2010.  For the years 2006 and 2007, however, we
> only have quarterly values, so we only populated months 3,6,9,12 for those
> months.
>
> Here's the odd part.  When we use TSMODEL to give a prediction, we get the
> following:
>
> Date Predict
> 2007-3 843.75
> 2007-6 0.01
> 2007-9 0.02
> 2007-12 0.05
> 2008-3 0.10
> 2008-6 0.21
> 2008-9 0.39
> 2008-12 0.70
> 2009-1 1.21
> 2009-2 2.00
> 2009-3 3.17
> 2009-4 4.87
> 2009-5 7.22
> 2009-6 10.40
> 2009-7 14.57
> 2009-8 19.88
> 2009-9 26.49
> 2009-10 34.53
> 2009-11 44.11
> 2009-12 55.30
>
> As noted above, the actual values run from 0 to 1.  Somehow it looks like a
> very strange value is being forecast for the first period  and then slowly
> the model tries to return to that value.
>
> Any ideas?
>
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