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 firstdifference and error correction form for exchange rates. I am planning to look at the insample and out of sample forecasting abilities.
Does Eviews have the insample metrics :
Hit ratio, Kuipers Score, PesaranTimmerman 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 onetoone 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
Forecast evaluation criteria
Moderators: EViews Gareth, EViews Moderator
Re: Forecast evaluation criteria
I am facing the same problem. Can somebody help?
Kind regards
Kind regards

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Re: Forecast evaluation criteria
EViews has none of those built in, but it may be that they are easy to calculate.
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Re: Forecast evaluation criteria
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
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
Re: Forecast evaluation criteria
Gareth is right.
If I am not misunderstanding the definition, direction of change can be calculated easily as follows:
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

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Re: Forecast evaluation criteria
Hi all,
I was wondering if the pesarantimmermann test is built in the latest version of Eviews (10)?
I performed the pesarantimmermann 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
I was wondering if the pesarantimmermann test is built in the latest version of Eviews (10)?
I performed the pesarantimmermann 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

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