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FEP - the forecast evaluation package for gretl

Author

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  • Artur Tarassow
  • Sven Schreiber

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.

Suggested Citation

  • Artur Tarassow & Sven Schreiber, 2018. "FEP - the forecast evaluation package for gretl," IMK Working Paper 190-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    • Handle: RePEc:imk:wpaper:190-2018
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    File URL: http://www.boeckler.de/pdf/p_imk_wp_190_2018.pdf
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    References listed on IDEAS

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    1. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-565, October.
    2. Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 161-173.
    3. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 553-576, August.
    4. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-127, June.
    5. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
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