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
RMSE dynamic forecast
Moderators: EViews Gareth, EViews Moderator
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: RMSE dynamic forecast
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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Re: RMSE dynamic forecast
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) ?
Thank you.
Aditi
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
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13317
- Joined: Tue Sep 16, 2008 5:38 pm
Re: RMSE dynamic forecast
It would still be the number of periods over the forecast sample
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