Exponential Smoothing Wizard

The Exponential Smoothing Wizard on the Time Series menu generates an ESMOOTH instruction, which estimates an exponential smoothing model to smooth, and optional forecast, a single series.

Selecting the Wizard brings up the following dialog box:

Series

Use this field to select the dependent variable for the exponential smoothing model.

Sample Start and End

Use these fields if you want to specify the start and/or end of the sample range. Leave these blank if you want to use the default range.

Form for Trend, Form for Seasonal

Use these radio buttons to select the model for the Trend and Seasonal components. Choose "Program Selected" if you want RATS to select the best choice for a given component, by selecting the model that minimizes the value of the Schwarz (Bayesian) criterion.

Output Series

These fields allow you to store the smoothed series, fitted values, residuals, and (if using a seasonal model) the seasonal factors produced by the estimation. You can select from lists of existing series, or type in new series names. For each of these, the resulting series will be set over the same range used in estimating the model.

Forecasts (Out of Sample)

Use this field to compute out of sample forecasts and save them to a series (here f_fcm30). You can select an existing series, or type in a new series name. Be sure to enter the desired number of forecast steps in the second field (here 12). RATS will compute forecasts beginning with the first period after the end of the estimation range.

Smoothing Parameters

This section controls the values of the parameters of the smoothing model.

Turn on the Estimate check-box if you want RATS to estimate all of the parameters (this will be on automatically if either of the "Program Selected" options in the Form for Trend, Seasonal fields are turned on). Turn on the constrained to [0,1] box if you want the all the parameters to be constrained to be >=0 and <=1.

If Estimate is off, you can input the desired values for the Level, Trend, and Seasonal parameters.

The Use Only Start of Sample Data to Initialize Recursions check-box turns on the INITIAL=START option. See the description of ESMOOTH for details.