Forecast evaluation criteria
Posted: 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
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