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From |
tom smith <tom_smith_tomm@hotmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Is forecast evaluation with stata possible? |

Date |
Sat, 1 Dec 2012 00:04:36 +0000 |

Hello, I have a question concerning the following: I estimated a number of forecasting models using different methods and variables. I did this a large number of times on an every time larger sample. More specifically I created a loop in Stata that estimates the different models on a first sample and then does the forecasting for 4 periods on the basis of that first sample, then the different models are again estimated based on a sample that is 4 periods larger and then again forecasting is done for 4periods etc.. So now I ended up with a number of different variables that contain 10 different forecasts of 4periods long under each other. Date: Forecast Forecast Actual variable Model1 Model2 ... y1Oq1 F1 F1 x y10q2 F1 F1 x y10q3 F1 F1 x y10q4 F1 F1 x y11q1 F2 F2 x y11q2 F2 F2 x y11q3 ... ... ... y11q4 y12q1 y12q2 y12q3 y12q4 ... y10q4 Now my question is how I can evaluate these forecasts, I want to see which is the best forecast. I also want to see which forecast is the best for each period. Does anybody have an idea how I can do this? Normally I could use RMSE, MAE and MAPE but I don't know how I can apply them to my results. And I don't know how to calculate them with Stata. When I want to evaluate separately the forecast of the 4 forecasted periods and would calculate the RMSE, MAE and MAPE I also don't know which numbers I have to use for the parameter representing the size of the forecast. I mean the N here: http://en.wikipedia.org/wiki/Forecasting#Forecasting_accuracy Should I use "4" the lengt of my forecasts or "10" the total number of forecasts I want to evaluate? Or is it possible that forecast evaluation is just not possible with stata? Kind regards, Tom * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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