Forecast Evaluation Help

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

praveen7796
Posts: 5
Joined: Wed Jul 11, 2018 1:03 am

Forecast Evaluation Help

Postby praveen7796 » Fri Jul 13, 2018 4:38 am

I am trying to do a forecast evaluation where the forecast is stored as a series and the observed values are also a series.

I follow the instructions listed here: http://www.eviews.com/help/helpintro.html#page/content/series-Forecast_Evaluation.html, yet I always obtain unusual results.

I am not sure what I am doing wrong. My observed series is titled RETURNSRQ, and the forecast series is titled VOLFORECASTGARCH. The sample range is 2015 to 2018 and i set the training sample to the same( I am not exactly sure about what to set the training sample too.). I filled out this dialog box like this:
dialog box.PNG
dialog box.PNG (15.92 KiB) Viewed 610 times


This is the result I obtain:
forecast evaluation graph.PNG
forecast evaluation graph.PNG (11.04 KiB) Viewed 610 times


I expected the graph to look like this:
expected graph.PNG
expected graph.PNG (28.07 KiB) Viewed 610 times


The statistics that come with the evaluation are also nonsensical.

I am not sure what I am doing wrong. Any help would be greatly appreciated. For some reason I can't attach my workfile.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11910
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast Evaluation Help

Postby EViews Gareth » Fri Jul 13, 2018 7:41 am

Forecast evaluation is for evaluation multiple forecasts of the same series. It looks like you are only evaluating a single series. Thus most of the statistics, and the averaging methods are nonsensical.
Follow us on Twitter @IHSEViews

praveen7796
Posts: 5
Joined: Wed Jul 11, 2018 1:03 am

Re: Forecast Evaluation Help

Postby praveen7796 » Fri Jul 13, 2018 8:09 am

EViews Gareth wrote:Forecast evaluation is for evaluation multiple forecasts of the same series. It looks like you are only evaluating a single series. Thus most of the statistics, and the averaging methods are nonsensical.


So how do I obtain forecast evaluation statistics like root mean square error? How can I compare between forecast values and real observations?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11910
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast Evaluation Help

Postby EViews Gareth » Fri Jul 13, 2018 8:22 am

You can use the forecast evaluation view for that, but don't include an averaging method.
Follow us on Twitter @IHSEViews

praveen7796
Posts: 5
Joined: Wed Jul 11, 2018 1:03 am

Re: Forecast Evaluation Help

Postby praveen7796 » Fri Jul 13, 2018 8:53 am

EViews Gareth wrote:You can use the forecast evaluation view for that, but don't include an averaging method.

I followed your instructions and obtained this:
evaluation.PNG
evaluation.PNG (10.18 KiB) Viewed 592 times


I don't understand why its not plotting the full evaluation sample.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11910
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast Evaluation Help

Postby EViews Gareth » Fri Jul 13, 2018 8:55 am

Hard to say without having the data.
Follow us on Twitter @IHSEViews

praveen7796
Posts: 5
Joined: Wed Jul 11, 2018 1:03 am

Re: Forecast Evaluation Help

Postby praveen7796 » Fri Jul 13, 2018 9:00 am

EViews Gareth wrote:Hard to say without having the data.

Sorry, I thought I had attached it. I have attached it now. Cheers.
Attachments
djia.wf1
(951.71 KiB) Downloaded 31 times

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11910
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast Evaluation Help

Postby EViews Gareth » Fri Jul 13, 2018 9:08 am

Works as expected for me. Ensure your copy of EViews is up to date.
Follow us on Twitter @IHSEViews

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11910
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast Evaluation Help

Postby EViews Gareth » Fri Jul 13, 2018 9:09 am

2018-07-13_090917.png
2018-07-13_090917.png (28.25 KiB) Viewed 587 times
Follow us on Twitter @IHSEViews

praveen7796
Posts: 5
Joined: Wed Jul 11, 2018 1:03 am

Re: Forecast Evaluation Help

Postby praveen7796 » Fri Jul 13, 2018 9:32 am

EViews Gareth wrote:2018-07-13_090917.png

I just want to say thanks for all your help. Updating the software did the trick. Sorry for taking up your time.
Cheers.


Return to “Estimation”

Who is online

Users browsing this forum: startz and 8 guests