FEP - the forecast evaluation package for gretl

Artur Tarassow () and Sven Schreiber

No 190-2018, IMK Working Paper from IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute

Abstract: The FEP function package for the gretl program is a collection of functions for computing different types of forecast evaluation statistics as well as tests. For ease of use a common scripting interface framework is provided, which is flexible enough to accommodate future additions. Most of the functionality is also accessible through a graphical dialog window interface within gretl. This documentation explains the usage and capabilities as well as providing some econometric background where necessary. An illustration with expert forecasts of euro area growth is also provided.

Pages: 29 pages
Date: 2018
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