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Forecast evaluation with Stata

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  • Robert A. Yaffee

    (Silver School of Social Work, New York University)

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.

Suggested Citation

  • Robert A. Yaffee, 2010. "Forecast evaluation with Stata," United Kingdom Stata Users' Group Meetings 2010 10, Stata Users Group.
    • Handle: RePEc:boc:usug10:10
    as

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    File URL: http://repec.org/usug2010/Yaffee_London.pdf
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    File URL: http://repec.org/usug2010/foreval.zip
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    File URL: http://repec.org/usug2010/oforeval.zip
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    References listed on IDEAS

    as
    1. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
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    Cited by:

    1. Garrouste, Christelle, 2011. "Towards a benchmark on the contribution of education and training to employability: methodological note," MPRA Paper 37153, University Library of Munich, Germany.
    2. Michée A. Lachaud & Boris E. Bravo‐Ureta & Carlos E. Ludena, 2022. "Economic effects of climate change on agricultural production and productivity in Latin America and the Caribbean (LAC)," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 321-332, March.
    3. Wadud, Zia & Dey, Himadri S. & Kabir, Md. Ashfanoor & Khan, Shahidul I., 2011. "Modeling and forecasting natural gas demand in Bangladesh," Energy Policy, Elsevier, vol. 39(11), pages 7372-7380.
    4. Christelle Garrouste, 2011. "Towards a Benchmark on the Contribution of Education and Training to Employability: Methodological Note. EUR 24616 EN," Working Papers hal-03245317, HAL.

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