Скачать или смотреть (4059) Forecast Evaluation - Eviews

EViews allows you to evaluate the quality of multiple forecasted series and determine which of the forecast is “best” or whether constructing a composite forecast by averaging across these forecasts would be more appropriate.
If you have access to different forecasts (perhaps from different models) it may be difficult to decide which single forecast is the “best”.
EViews' “Forecast Evaluation” feature, which is available from the View menu of a series, allows you to compare different forecasts from different sources or models.
Evaluation of the quality of a forecast requires comparing the forecast values to actual values of the target value over a forecast period.
EViews offers four different measures of forecast accuracy:
RMSE (Root Mean Squared Error)
MAE (Mean Absolute Error)
MAPE (Mean Absolute Percentage Error)
Theil Inequality Coefficient.
EViews also offers Combination Tests to tests whether an average, or combination of the individual forecasts may perform better than the individual forecasts themselves