Multi-step ahead forecast
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Re: Multi-step ahead forecast
ah yes, there is a next statement at the bottom of my program, like this:
'calculate RMSE
scalar rmse=@rmse(returns, fcast)
'calculate MAE
Scalar mae=@mae(returns, fcast)
next
However, the results are still not consistent. Am I missing next statements in other places?
'calculate RMSE
scalar rmse=@rmse(returns, fcast)
'calculate MAE
Scalar mae=@mae(returns, fcast)
next
However, the results are still not consistent. Am I missing next statements in other places?
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Multi-step ahead forecast
What is the build date of your copy of EViews (Help->About EViews)?
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Re: Multi-step ahead forecast
standard edition - Jun 19 2013 build
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Multi-step ahead forecast
Hi,
I have now been able to get the same forecast results by trying the two different methods (commands and dropdown menu), which I am really happy about!
However I still get incorrect answers for RMSE and MAE. I have not been able to update eviews yet, as I am not allowed to do it myself as only admins are entitled to do it at the university.
Do you think m problems are caused by not having the latest update, or am I doing something else incorrectly?
Nicole
I have now been able to get the same forecast results by trying the two different methods (commands and dropdown menu), which I am really happy about!
However I still get incorrect answers for RMSE and MAE. I have not been able to update eviews yet, as I am not allowed to do it myself as only admins are entitled to do it at the university.
Do you think m problems are caused by not having the latest update, or am I doing something else incorrectly?
Nicole
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Multi-step ahead forecast
Your sample is set to a single observation. RMSE and MAE will give identical results for a single observation.
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Re: Multi-step ahead forecast
What do you mean? When doing it from the drop down menu I do get two different values. Am I not doing the same thing with the program?
Also, when changing my sample to 21 when I am using the programme, my forecasted values come out exactly the same as when I set the sample to 1 day.
Obviously I must be doing something wrong..
Also, when changing my sample to 21 when I am using the programme, my forecasted values come out exactly the same as when I set the sample to 1 day.
Obviously I must be doing something wrong..
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- Fe ddaethom, fe welon, fe amcangyfrifon
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- Joined: Tue Sep 16, 2008 5:38 pm
Re: Multi-step ahead forecast
You need to forecast one value at a time. I presume you don't want to calculate RMSE one value at a time.
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Re: Multi-step ahead forecast
That is correct. So how do I do that? Which part of my program is incorrect?
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Multi-step ahead forecast
The part where you calculate RMSE and MAE with the sample set to be only one observation.
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Re: Multi-step ahead forecast
Oh.. So how do I change it to include all the observations?
Furthermore, when I change my program from 1 day to 21 days:
'1-period-ahead forecast
%1pers=@otod(@dtoo(%start)+!i+!window-1)
%1pere=@otod(@dtoo(%start)+!i+!window+0)
'set smpl for forecasting period
smpl {%1pers} {%1pere}
'21-period-ahead forecast
%21pers=@otod(@dtoo(%start)+!i+!window-1)
%21pere=@otod(@dtoo(%start)+!i+!window+20)
'set smpl for forecasting period
smpl {%21pers} {%21pere}
The forcasted values remain the same.. Why?
Furthermore, when I change my program from 1 day to 21 days:
'1-period-ahead forecast
%1pers=@otod(@dtoo(%start)+!i+!window-1)
%1pere=@otod(@dtoo(%start)+!i+!window+0)
'set smpl for forecasting period
smpl {%1pers} {%1pere}
'21-period-ahead forecast
%21pers=@otod(@dtoo(%start)+!i+!window-1)
%21pere=@otod(@dtoo(%start)+!i+!window+20)
'set smpl for forecasting period
smpl {%21pers} {%21pere}
The forcasted values remain the same.. Why?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Multi-step ahead forecast
aah thanks, that helped!
However I have run into another problem. When changing my step-ahead forecast from 1 day to 21 days as shown above, I get the same forecast values. Do I need to change anything else than "period-ahead" and "sample for forecasting period" in my program in order to change the horizon?
However I have run into another problem. When changing my step-ahead forecast from 1 day to 21 days as shown above, I get the same forecast values. Do I need to change anything else than "period-ahead" and "sample for forecasting period" in my program in order to change the horizon?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
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Re: Multi-step ahead forecast
I have changed it but still get the same forecast values as I do when I forecast for 1 step ahead.
I really do not see what I am doing wrong, to me my program looks correct...
I really do not see what I am doing wrong, to me my program looks correct...
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