Forecast evalution

[Katjes]

Using EViews9, we can easily conduct forecast evaluation and encompassing tests :D

Code: Select all

series.fcasteval(evalsmpl="2004 2014") aa bb cc

Is there a way to directly access the results that are shown in a spool (which is not save automatically) ? For instance to extract the values of the p-statistic easily to another table?

[EViews Gareth]

Not currently, but I'll see if we can add it.

[EViews Gareth]

Should be in the next patch with the testname= and statname= options.

[Katjes]

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.