Computing Forecast Evaluation Criteria

[trubador]

Below is a short piece of code I've written as a subroutine for computing the forecast error statistics that EViews commonly reports. Although you may find it useful, it has not been tested/improved enough and is intended only to help you in obtaining these statistics effectively, where EViews does not automatically produce. Using the code is at your own risk...

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'y is the dependent variable 'yf is the forecasted values of the dependent variable 's is the forecast sample and should be defined carefully beforehand (e.g. sample s 1997m04 2009m04) sample my_sample beginning end call forper(my_series,my_forecasts,my_sample) subroutine forper(series y,series yf,sample s) table(7,2) criteria criteria.setwidth(A) 20 criteria.setjust(1,A,7,B) left criteria.setindent(5,A,7,A) 8 smpl s !h = @obssmpl series ratio = yf/y series one = 1 series dif= yf - y !RMSE = @sqrt((@sumsq(dif))/!h) !MAE = (@sum(@abs(dif)))/!h !MAPE = 100*(@sum(@abs(one-ratio)))/!h !THEIL = !RMSE / ( @sqrt((@sumsq(y))/!h) + @sqrt((@sumsq(yf))/!h)) !biasprop = (@mean(yf) - @mean(y))^2 / !RMSE^2 !varianceprop = (@sqrt(@var(yf)) - @sqrt(@var(y)))^2 / !RMSE^2 !covarianceprop = 2*(1-@cor(yf,y))*@sqrt(@var(yf))*@sqrt(@var(y)) / !RMSE^2 !i=1 for %c RMSE MAE MAPE THEIL Biasprop Varianceprop Covarianceprop criteria(!i,1)=%c %r = "!"+%c criteria(!i,2)={%r} !i=!i+1 next show criteria smpl @all delete s ratio one dif endsub