## Search found 24 matches

Tue Jun 25, 2019 2:05 am
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Re: Theil Statistics Programme Command

All of the forecast evaluation type statistics (@rmse, @mse, @mape, @smape, @theil) work as: !mystat = @theil(y_actual, y_forecast) where y_* are series objects. Hi Gareth, I am trying to write following command for Theil. Could kindly you tell me what mistake is in this? THEIL=@sqrt(RMSE)/@sqrt({%...
Mon Jun 24, 2019 5:09 pm
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Re: Theil Statistics Programme Command

Hello, I understand this must be a very simple question but I am in the learning phase and I badly need your help.

kindly help!
Mon Jun 24, 2019 5:03 pm
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Re: Theil Statistics Programme Command

EViews Gareth wrote:You don't appear to be storing the theil statistic anywhere.

Where should I store the statistics ideally?
Am I missing something here?
Mon Jun 24, 2019 4:53 pm
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Re: Theil Statistics Programme Command

HORIZON h=1 h=2 h=3 h=4
Bias 0.522 1.026 1.434 1.591
MSE 3.136 5.300 8.923 12.197
RMSE 1.771 2.302 2.987 3.492
SE 1.692 2.061 2.620 3.109
MAE 1.486 2.000 2.466 2.525
MAPE 0.664 1.051 0.910 0.648
THEIL 0.000 0.000 0.000 0.000

This is my result window.
Mon Jun 24, 2019 4:17 pm
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Re: Theil Statistics Programme Command

Hello Gareth, thank you for help.

I did post the command but was unable to generate the result. Following is the command file. Kindly let me know where am I making mistake.

gg_outsmpl_trial.prg

Gareth, I am very new to the command program, so kindly help me out this.

Thanks,
Saakshi
Mon Jun 24, 2019 3:42 pm
Forum: Programming
Topic: Theil Statistics Programme Command
Replies: 8
Views: 404

### Theil Statistics Programme Command

Hello everyone, Can someone really help me out? I badly need help! I am doing out-of-sample forecast. Following is my program: gg_outsmpl.prg As a forecast evaluation test, I also want to check the Theil statistics. I have tried with @theil command but is unable to find the appropriate result. Pleas...
Wed May 15, 2019 4:16 pm
Forum: Econometric Discussions
Topic: Rolling Strategy and Expanding Strategy Forecasting
Replies: 0
Views: 633

### Rolling Strategy and Expanding Strategy Forecasting

Hi, I an trying to forecast a series using equation. Following the guide book, I am able to forecast the series but I am unable to understand the difference between in-sample and out-sample forecast. So far to my understanding in-sample forecast has estimation period equivalent to the forecast perio...
Tue May 22, 2018 12:28 am
Forum: Estimation
Topic: Second Order Differencing
Replies: 7
Views: 2433

### Re: Second Order Differencing

Hi Gareth,

thanks,
Saakshi
Mon Jan 30, 2017 7:05 am
Forum: Econometric Discussions
Topic: Durbin-Wu-Hausman Test
Replies: 3
Views: 2077

### Re: Durbin-Wu-Hausman Test

Thanks. I need one more explanation. I used TSLS for an estimation and then followed regressor endogeneity test that is Durbin-Wu-Hausman. My regressor turns out to be endogenous as the null hypothesis is accepted. So far this means that the regressor is endogenous, so in this case can I go back and...
Fri Jan 27, 2017 4:25 am
Forum: Econometric Discussions
Topic: Durbin-Wu-Hausman Test
Replies: 3
Views: 2077

### Durbin-Wu-Hausman Test

Hi,

I need to perform Durbin-Wu-Hausman Test for an OLS estimate. The null hypothesis is "OLS estimators are consistent". Can you please help me getting some code on this or any idea.

thanks
Sat Jun 25, 2016 6:50 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1536

### Re: Forecasting a time series model using ARIMA model

Fri Jun 24, 2016 11:15 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1536

### Re: Forecasting a time series model using ARIMA model

Hi, I want to forecast CPI from 1996Q1 to 2016Q1. My data of CPI is for the same period. I am actually looking for E_t(CPI_t+1) i.e future inflation for every quarter from 1996Q1 to 2016Q1. This forecasting I need to do is by ARIMA 1 quarter that is it will cover one quarter and another by ARIMA 4 q...
Fri Jun 24, 2016 8:19 am
Forum: Estimation
Topic: Forecasting a time series model using ARIMA model
Replies: 2
Views: 1536

### Forecasting a time series model using ARIMA model

Hi, I need to forecast a series using ARIMA procedure. So far I have regress the arima equation and is able to do the forecast. But my problem start when I want to forecast the series at 1 and 4 quarter. Actually I have to get an inflation expectation series which is forecasted at 1 quarter and 4 qu...
Sun Jun 12, 2016 12:42 pm
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3734

### Re: Parameter restriction in GMM

Thank you startz.
Sun Jun 12, 2016 10:11 am
Forum: Estimation
Topic: Parameter restriction in GMM
Replies: 16
Views: 3734

### Re: Parameter restriction in GMM

Thanks startz. And also how to calculate c(3) standard error?