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Posted: **Fri Dec 30, 2011 1:15 pm**

Hello!

Im a bit stuck reproducing Stock and Watson's paper called "Vector Autoregressions". At a certain point they give the results for the root mean sqaured errors of simulated out-of-sample forecasts for inflation, unemployment and federal funds in 2 quarters, 4 quarters and 8 quarters; comparing VAR, AR and Random Walk.
I have forecast the VAR model, solving the model and obtiaining the _0 values, but do not know how to conitnue further on. Any ideas?
THanks so much!

Posted: **Fri Dec 30, 2011 1:34 pm**

You can use the @rmse function to calculate the rmse between any two series, in your case the forecasted values and the actual values.

Posted: **Fri Dec 30, 2011 6:16 pm**

thanks!

Posted: **Wed Jul 04, 2012 6:16 am**

Hi,
Is there a way to calculate minimum mean square error in Eviews ?

Many thanks

Posted: **Wed Jul 04, 2012 9:59 am**

Not built in, but calculating it by hand shouldn't be too hard.

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root mean squared error of var forecast

root mean squared error of var forecast

root mean squared error of var forecast

Re: root mean squared error of var forecast

Re: root mean squared error of var forecast

Re: root mean squared error of var forecast