VAR forecast performance

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.

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selin1000
Posts: 40
Joined: Tue Mar 06, 2012 1:56 pm

VAR forecast performance

Postby selin1000 » Thu Mar 28, 2013 8:46 am

Hi everyone!

I am stuck again in Eviews and will appreciate your help a ton. I am doing forecasts in VAR manually (i.e. make model & solve) but then I would like to compute the normalized means squared error (NMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE). I compute the root mean squared errors with @rmse function. How can I compute these values manually?

Thank you!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12316
Joined: Tue Sep 16, 2008 5:38 pm

Re: VAR forecast performance

Postby EViews Gareth » Thu Mar 28, 2013 8:47 am

There's an @mae and @mape function too...
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selin1000
Posts: 40
Joined: Tue Mar 06, 2012 1:56 pm

Re: VAR forecast performance

Postby selin1000 » Thu Mar 28, 2013 9:12 am

Thank you! This was SO HELPFUL! :))


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