forecasting - Does ETS smoothing model work for more than one year forecast in R? -


i using ets() forecast future values based on historic time series data in r. used forecast() function predict next 24 data points. however, output gives same numbers first 12 , last 12 data points. example, forecast-ed value of may 2012 replicated in may 2013.

following data passed:

2005.04.30    87.6 2005.05.31    95.4 2005.06.30    97.7 2005.07.31    101.3 2005.08.31    100.6 2005.09.30    97 2005.10.31    91.1 2005.11.30    92.1 2005.12.31    112 2006.01.31    113.9 2006.02.28    103.9 2006.03.31    115.1 2006.04.30    100 2006.05.31    107.5 2006.06.30    110 2006.07.31    114.2 2006.08.31    109.4 2006.09.30    108.9 2006.10.31    114.6 2006.11.30    113 2006.12.31    116.5 2007.01.31    120.2 2007.02.28    112.6 2007.03.31    124.1 2007.04.30    113.4 2007.05.31    121 2007.06.30    117.9 2007.07.31    118.4 2007.08.31    119.5 2007.09.30    113.5 2007.10.31    117.8 2007.11.30    118.2 2007.12.31    120.6 2008.01.31    126.1 2008.02.29    121.2 2008.03.31    127.4 2008.04.30    119.5 2008.05.31    121.5 2008.06.30    125.7 2008.07.31    131.4 2008.08.31    123.5 2008.09.30    122.8 2008.10.31    125.3 2008.11.30    119.4 2008.12.31    121.2 2009.01.31    123.7 2009.02.28    118.1 2009.03.31    128.7 2009.04.30    112.2 2009.05.31    115.4 2009.06.30    119.8 2009.07.31    117.4 2009.08.31    127.8 2009.09.30    124.4 2009.10.31    131 2009.11.30    118.9 2009.12.31    124 2010.01.31    127.4 2010.02.28    116.3 2010.03.31    126.4 2010.04.30    115.7 2010.05.31    117.7 2010.06.30    122.4 2010.07.31    121.9 2010.08.31    116.7 2010.09.30    110.9 2010.10.31    120.7 2010.11.30    116.7 2010.12.31    131.2 2011.01.31    137.1 2011.02.28    118.7 2011.03.31    128.5 2011.04.30    123.5 2011.05.31    126.1 2011.06.30    127.7 2011.07.31    125.3 2011.08.31    126.7 2011.09.30    114 2011.10.31    116.5 2011.11.30    128 2011.12.31    130.6

code:

etsfit <- ets(data.ts) data.ets <- forecast(etsfit, level=70, h=24)

output:

          point forecast    lo 70    hi 70  jan 2012       133.6314 129.3483 137.9145  feb 2012       123.5998 118.7221 128.4775  mar 2012       133.1607 127.7534 138.5681  apr 2012       121.0877 115.1982 126.9773  may 2012       125.4991 119.1639 131.8342  jun 2012       127.5913 120.8399 134.3427  jul 2012       128.4923 121.3489 135.6358  aug 2012       127.2225 119.7074 134.7376  sep 2012       122.1938 114.3247 130.0630  oct 2012       125.5382 117.3302 133.7462  nov 2012       123.3347 114.8012 131.8682  dec 2012       129.9972 121.1503 138.8441  jan 2013       133.6314 124.4818 142.7810  feb 2013       123.5998 114.1572 133.0424  mar 2013       133.1607 123.4340 142.8875  apr 2013       121.0877 111.0849 131.0906  may 2013       125.4991 115.2275 135.7706  jun 2013       127.5913 117.0579 138.1246  jul 2013       128.4923 117.7035 139.2812  aug 2013       127.2225 116.1841 138.2609  sep 2013       122.1938 110.9114 133.4763  oct 2013       125.5382 114.0169 137.0595  nov 2013       123.3347 111.5793 135.0901  dec 2013       129.9972 118.0123 141.9821

kindly help.

look @ fitted model:

ets(a,n,a)   call:  ets(y = x)     smoothing parameters:     alpha = 0.5449      gamma = 1e-04     initial states:     l = 95.8994      s=6.3817 -3.1792 6.8525 3.218 -3.4445 -1.2408            -4.5852 0.4434 1.7133 0.8123 -1.28 -5.6914    sigma:  4.1325       aic     aicc      bic  613.8103 620.1740 647.3326

so there no trend selected. therefore forecasts have seasonal pattern , no trend, you've got.


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