help for fcstats

Time series forecast accuracy statistics

fcstats actual forecast1 [forecast2]
[if exp] [in range] [graph) * ]

fcstats is for use with time-series data. You must tsset your
data before using fcstats; see help tsset. fcstats may be applied to
one unit of a panel.

actual, forecast1, forecast2 may contain time-series operators; see help varlist.

Description

fcstats calculates several measures of forecast accuracy for one or two forecast
series. The measures include root mean squared error (RMSE), mean absolute error (MAE),
mean absolute percent error (MAPE) and Theil's U.

Theil's U statistic (1966), sometimes termed U2, is based on the concept of information entropy.
It can be considered as the RMSE of the forecast divided by the RMSE of the naive model,
y(t+1)=y(t). Theil's U takes on a value
of 1 if the forecasting method is no more accurate than a naive forecast.
If it is less than 1, the forecasting method is more accurate than a naive forecast, and
vice versa.

Options

graph specifies that a tsline plot of the actual and forecast series
is to be produced.

* allows the specification of any options available in tsline to modify
the graph.

Returned items

All calculated statistics are returned as scalars, as is the number of observations
used in the calculations. The names of the series are also returned as local macros.

Examples

. use http://fmwww.bc.edu/ec-p/data/macro/barclaymonthly.dta,clear

. fcstats bbjpysp bbjpy1f

. fcstats bbjpysp L.bbjpy1f L2.bbjpy2f, graph

. fcstats bbjpysp L.bbjpy1f L2.bbjpy2f, graph ylab(,angle(0) labs(small)) scheme(s2mono)

References

Theil, H. (1966), Applied Economic Forecasting. Chicago: Rand McNally.

Author

Christopher F Baum, Boston College, USA, baum@bc.edu

Acknowledgements

Development of this routine was stimulated by an engagement at the Asian Development Bank.

Also see

On-line: help for predict
dmariano (if installed), giacross (if installed),rosssekh (if installed)