RMSE dynamic forecast

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aditi
Posts: 9
Joined: Sun Apr 03, 2011 1:10 am

RMSE dynamic forecast

Postby aditi » Sat Jul 21, 2018 6:58 am

Hello,

I have calculated the forecast evaluation statistics of my estimated time series model using the Forecast tab available after estimation.

The options I chose were the 'Dynamic' forecast option following which I got the RMSE, MAPE, Theil's inequality coefficient etc.

I wanted to inquire how many steps ahead the forecast was generated for. Also, are all the measures in-sample forecast measures , thus implying that the forecast period is the same as the sample period?
The manual states "EViews will perform a multi-step forecast of Y, beginning at the start of the forecast sample." , but does not state how many steps ahead.

Please clarify about this.

Thank you.
Aditi

EViews Gareth
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Re: RMSE dynamic forecast

Postby EViews Gareth » Sat Jul 21, 2018 2:39 pm

It is out of sample, multi-step ahead. The number of steps ahead is the number of periods in the forecast period.
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aditi
Posts: 9
Joined: Sun Apr 03, 2011 1:10 am

Re: RMSE dynamic forecast

Postby aditi » Sun Jul 22, 2018 4:45 am

Thank you for the prompt reply Gareth.

But the number of periods in the forecast period were not user-specified in my case. The "forecast sample" was the same as the sample period (1993: Jan to 2014: Jan). In that case, what number of steps ahead would EViews 7 have used (by default) ?

EViews Gareth wrote: The number of steps ahead is the number of periods in the forecast period.


Thank you.
Aditi

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11868
Joined: Tue Sep 16, 2008 5:38 pm

Re: RMSE dynamic forecast

Postby EViews Gareth » Sun Jul 22, 2018 10:38 am

It would still be the number of periods over the forecast sample
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