Re: [Gretl-users] issue with fctstats()
Thank you Sven!
I also wrote down the following little function as an attempt to
circumvent the zero-division problem.
<hansl>
function matrix FcStat(series y, series fc)
list all = y fc
if sum(missing(all))
print "found missings, aborting"
return {1}
endif
set warnings off
matrix out = zeros(6,1)
matrix mtemp = fcstats(y,fc)
out[1:3] = mtemp[1:3] # These criteria always work fine
series e = y-fc
# MPE
series ey = e/y
ey = misszero(ey)
matrix out[4] = 100*meanc({ey}) # contains only valid values
# MAPE
series ey = abs(e)/y
ey = misszero(ey)
matrix out[5] = 100*meanc({ey})
# Theil's U
series num = (e/y(-1))^2
num = misszero(num)
num[1] = NA # 1st obs. is NA
scalar mnum = mean({num})
series den = ( (y-y(-1)) / y )^2
den = misszero(den)
mden = mean({den})
matrix out[6] = mnum/mden
return out
end function
</hansl>s
Am 15.04.2016 um 11:44 schrieb Sven Schreiber:
Am 15.04.2016 um 11:28 schrieb Artur T.:
> It would be fine if you would share it. Thanks in advance, Sven.
>
I hope this is what we're talking about:
<hansl>
function matrix otherfcstats(series y, series fc)
list all = y fc
if sum(missing(all))
print "--otherfcstats(): found missings, aborting"
return {1}
endif
matrix mtemp = fcstats(y,fc)
# Root mean square error, mean abs. error
matrix out = sqrt(mtemp[2]) | mtemp[3]
# now the manual TheilU calculation
matrix my = {y}
matrix mfc = {fc}
numerator = sqrt(mean((my-mfc).^2))
denom = sqrt(mean(mfc.^2)) + sqrt(mean(my.^2))
matrix out |= numerator/denom
return out
end function
</hansl>
hth,
sven
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