Search found 4 matches

by Maglin
Thu Oct 11, 2018 7:20 am
Forum: General Information and Tips and Tricks
Topic: Forecast evaluation output
Replies: 6
Views: 1683

Re: Forecast evaluation output

Ok, thanks for this clarification. Googled TheilU2 and there seems to be different definitions, not sure which one is the orginal.
by Maglin
Wed Oct 10, 2018 6:08 am
Forum: General Information and Tips and Tricks
Topic: Forecast evaluation output
Replies: 6
Views: 1683

Re: Forecast evaluation output

Perhaps I'm missing something in the previous topic. Here´s an example to explain my problem: Series a = actual series Series f = forecast of a series fpe = (f-a)/a series ape = (a-a(-1))/a genr sq_fpe = (fpe)^2 genr sq_ape = (ape)^2 scalar fpe2 = @sum(sq_fpe) scalar ape2 = @sum(sq_ape) RMSE_fpe = @...
by Maglin
Tue Oct 09, 2018 1:43 pm
Forum: General Information and Tips and Tricks
Topic: Forecast evaluation output
Replies: 6
Views: 1683

Re: Forecast evaluation output

Sorry, I still don’t get it. If you refer to the discussion about the sample size I don’t see how that could have different impact on TheilU2 for different series (and all my forecast series have the same sample). The forecast rank should still be the same according to RMSE and TheilU2.
by Maglin
Tue Oct 09, 2018 6:23 am
Forum: General Information and Tips and Tricks
Topic: Forecast evaluation output
Replies: 6
Views: 1683

Forecast evaluation output

Hi! I use the forecast evaluation "fcasteval" but the tabel is puzzling. In the output table showing evaluation statistics there is no constant relationship between RMSE and TheilU2. I use the following command where "gr_f" contains around 50 forecasts for PC_GDP. (I use Eviews10...

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