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Posted: **Fri Mar 06, 2015 4:17 pm**

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

Posted: **Fri Mar 06, 2015 4:29 pm**

Regress on just a constant?

Posted: **Fri Mar 06, 2015 4:36 pm**


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

Posted: **Fri Mar 06, 2015 5:09 pm**

Great idea startz, thanks.

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

Posted: **Fri Mar 06, 2015 5:12 pm**

Gareth meant

scalar rmse = @rmse(y, ymean)

Posted: **Fri Mar 06, 2015 5:18 pm**

Amazing. Thank you both! :D

Posted: **Fri Mar 06, 2015 6:14 pm**

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

Posted: **Fri Mar 06, 2015 6:18 pm**

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?

Posted: **Fri Mar 06, 2015 6:20 pm**

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?

Posted: **Fri Mar 06, 2015 6:29 pm**

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.

Posted: **Fri Mar 06, 2015 6:33 pm**

Then y, not yf.

Posted: **Fri Mar 06, 2015 6:35 pm**

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?

Posted: **Fri Mar 06, 2015 6:39 pm**

Posted: **Fri Mar 06, 2015 6:45 pm**

Wonderful, thank you very much

Comparing a forecast to the mean