Comparing a forecast to the mean

[miorinnovo]

Can someone tell me how I can compare a forecasts RMSE to the unconditional mean?

[startz]

Regress on just a constant?

[EViews Gareth]

Code: Select all

series ymean = @mean(y) scalar rmse = @rmse(yf, ymean)

[miorinnovo]

Great idea startz, thanks.

EViews Gareth, I tried your code and it says yf is not defined

[startz]

Gareth meant

Code: Select all

scalar rmse = @rmse(y, ymean)

[miorinnovo]

Amazing. Thank you both! :D

[EViews Gareth]

No, I meant yf, where yf is your forecast of y.

[miorinnovo]

Oh, ok. So is it the RMSE of using the mean to forecast though? If so why do we need the forecast variable in there?

[startz]

Do you want to find the rmse of your forecast compared to the mean, or do you want to compute the rmse of the mean compared to the original series?

[miorinnovo]

So I want to compare my forecasts RMSE compared to the RMSE that I would get if I just used the mean as my forecast.

[startz]

Then y, not yf.

[miorinnovo]

Ok, and that code gives the RMSE of the mean as a forecaster, and

scalar rmse = @rmse(yf, y)
is to find the RMSE of the forecast?

[startz]

yes

[miorinnovo]

Wonderful, thank you very much