Comparing 12-step ahead models
Posted: Wed Jan 04, 2017 6:55 am
Hello,
I'm new to eviews and Econometrics so i apologise if my questions is simple, or not clear. I have estimated an AR(1) and AR(2) model, and used this to forecast a 12 step ahead model. Both as you might expect give out fairly similar results, is there a statistical method i would use to compare the fit of the forecast and decide which model is best? or would i just choose the AR(1) because of parsimony?
Any help would be greatly appreciated
Thanks
Alex
I'm new to eviews and Econometrics so i apologise if my questions is simple, or not clear. I have estimated an AR(1) and AR(2) model, and used this to forecast a 12 step ahead model. Both as you might expect give out fairly similar results, is there a statistical method i would use to compare the fit of the forecast and decide which model is best? or would i just choose the AR(1) because of parsimony?
Any help would be greatly appreciated
Thanks
Alex