Forecast evaluation with Stata

Robert A. Yaffee
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Robert A. Yaffee: Silver School of Social Work, New York University

United Kingdom Stata Users' Group Meetings 2010 from Stata Users Group

Abstract: Forecasters are expected to provide evaluations of their forecasts along with their forecasts. The forecast assessments demonstrate comparative, adequate, or optimal accuracy by common forecasting criteria to provide acceptable credence in the forecasts. To assist the Stata user in this process, Robert Yaffee has written Stata programs to evaluate ARIMA and GARCH models. He explains how these assessment programs are applied to one-step-ahead and dynamic forecasts, ex post and ex ante forecasts, conditional and unconditional forecasts, as well as combinations of forecasts. In his presentation, he will also demonstrate how assessment can be applied to rolling origin forecasts of time-series models.

Date: 2010-09-17
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Citations: View citations in EconPapers (4)

Downloads: (external link)
http://repec.org/usug2010/Yaffee_London.pdf presentation (application/pdf)
http://repec.org/usug2010/foreval.zip (application/zip)
http://repec.org/usug2010/oforeval.zip (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug10:10

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