Thanks for prompt reply and implementation,
Code: Select all
series.fcasteval(evalsmpl="2004 2014", testname=m_enc, statname=vv) aa bb cc
in matrix m_enc the results for the forecast encompassing test (F-stat, pval) are saved.
but in svector vv only the name of the first variable is given (maybe this should include all names of the variables?)
is there also a way to extract the forecast evaluation statistics at the lower part of the table generated by fcasteval, i.e. RMSE, MAE,...?
Maybe it is easier for you to allow an option to save spool (e.g. under testname=) and extract the whole table (e.g. under statname=)? Then the user can access the particular cell/column of interest for further analysis.