Root Mean Square Error in Forecasting
Posted: Wed Jul 13, 2016 3:16 am
Hello, maybe stupid question, but I want to be clear in this:
I made VAR model in EViews, where there are some statistically insignificant variables. I ran forecast and I wanted to compute Root Mean Square Error. I tought that RMSE is computed according to model with only statistically significant variables but EViews gives me results that seem to be computed from model with all variables (regardless there are also insignificant variables). Such RMSE can“t be true then.
Can you help me? Thank you.
I made VAR model in EViews, where there are some statistically insignificant variables. I ran forecast and I wanted to compute Root Mean Square Error. I tought that RMSE is computed according to model with only statistically significant variables but EViews gives me results that seem to be computed from model with all variables (regardless there are also insignificant variables). Such RMSE can“t be true then.
Can you help me? Thank you.