Programming a pseudo out of sample test with mixed frequencies

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miorinnovo
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Programming a pseudo out of sample test with mixed frequencies

Postby miorinnovo » Mon Jun 17, 2019 7:06 am

Is it possible to run a program that will calculate the rmse for a quarterly model with a monthly independent variable after each month of data is received. In other words. I have a simple quarterly model with one independent variable which is actually a monthly frequency converted to quarterly.

I know how to do the pseudo out of sample rmse test if i just assume the monthly series is quarterly, but Id actually like to know how well the model does with only 0,1 or 2 months of the independent series.

Is this type of thing possible?

EViews Gareth
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Re: Programming a pseudo out of sample test with mixed frequencies

Postby EViews Gareth » Mon Jun 17, 2019 8:05 am

Yes.
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miorinnovo
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Re: Programming a pseudo out of sample test with mixed frequencies

Postby miorinnovo » Mon Jun 17, 2019 8:13 am

EViews Gareth wrote:Yes.


Great. Could you direct me to some information on how to do it?

EViews Gareth
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Re: Programming a pseudo out of sample test with mixed frequencies

Postby EViews Gareth » Mon Jun 17, 2019 8:19 am

It is relatively straight forward, but laborious. I'm not sure we have concrete examples, other than this blog post:
http://blog.eviews.com/2018/12/nowcasti ... basis.html

which has layers of complexity above what you want, but if you can follow Michael's program, writing your own should be simple.
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miorinnovo
Posts: 199
Joined: Sun Mar 01, 2015 5:01 pm

Re: Programming a pseudo out of sample test with mixed frequencies

Postby miorinnovo » Mon Jun 17, 2019 11:46 am

I'm not sure this is what I'm looking for. Essentially I just want to know how to calculate the rmse for different time horizons where those time horizons reflect how many months of data I have. SO for my x, I would extend the series by using a moving average to the end of a quarter whenever there is missing data. I'd like to know what the RMSE is when 1 month is missing and filled in, when 2 months are missing and filled in, when 3 months... etc.

If anyone has any pointers it would be appreciated.


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