Forecast evaluation criteria

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Thomas
Posts: 1
Joined: Thu Jul 02, 2009 5:06 pm

Forecast evaluation criteria

Postby Thomas » Sat Jul 04, 2009 4:10 am

Hello all,

I am in the process of writing an assignment comparing the forecasting abilities of ppp, uip, dornbusch frankel with and without share prices in first-difference and error correction form for exchange rates. I am planning to look at the in-sample and out of sample forecasting abilities.

Does Eviews have the insample metrics :

Hit ratio, Kuipers Score, Pesaran-Timmerman statistic??

Does Eviews have the out of sample metrics :

(1) MSE ratio (the ratio between the mean squared error of the structural models and a driftless random walk is used) and the Diebold Mariano Test
(2) The Direction of change criterion (proportion of forecasts that correctly predict the direction of exchange rates) and
(3) the consistency criterion (that the forecast and actual realization comove one-to-one in the long run)??

And how can i find out the actual cointegrating vector in eviews in relevant tests?
If i cannot get these criteria from eviews...does anybody know whether Splus ( finmetrics included) provides these?

any help would be nice!!!!
Thanks

sim
Posts: 2
Joined: Fri Mar 01, 2013 4:03 am

Re: Forecast evaluation criteria

Postby sim » Mon Mar 04, 2013 2:30 am

I am facing the same problem. Can somebody help?

Kind regards

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast evaluation criteria

Postby EViews Gareth » Mon Mar 04, 2013 6:00 am

EViews has none of those built in, but it may be that they are easy to calculate.
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sim
Posts: 2
Joined: Fri Mar 01, 2013 4:03 am

Re: Forecast evaluation criteria

Postby sim » Mon Mar 04, 2013 7:36 am

How do you calculate the Direction of Change criterion?

The Diebold Mariano Test is explained in another thread, and hopefully I'll understand it, but I didn't find anything about the construction of the Direction of Change criterion.

Kind regards

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Forecast evaluation criteria

Postby trubador » Mon Mar 04, 2013 8:04 am

Gareth is right.
If I am not misunderstanding the definition, direction of change can be calculated easily as follows:

Code: Select all

'Suppose the name of dependent variable is y and its forecasted values are already stored in y_f
series match =  1-((d(y)>0 and d(y_f)<0) or (d(y)<0 and d(y_f)>0))
scalar doc = @sum(match)/match.@obs

robertvjanssen
Posts: 5
Joined: Thu Dec 08, 2016 6:39 am

Re: Forecast evaluation criteria

Postby robertvjanssen » Thu Sep 07, 2017 1:05 pm

Hi all,

I was wondering if the pesaran-timmermann test is built in the latest version of Eviews (10)?

I performed the pesaran-timmermann test following the equations stated above, but I'm looking for the any statistics which go with that, in order to determine any significance.

Could you help me out?

Thanks up front!

Robert

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast evaluation criteria

Postby EViews Gareth » Thu Sep 07, 2017 1:06 pm

It is not.
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