Dear all:

Q1:

I input monthly data from 1980M1 to 1990M12.  I set the sample range from 1980M6 to 1990M12. When I estimate AR(3) model, data used to estimate the model is 1980M1-1990M12, 1980M6-1980M12, 1980M9-1990M12, or so on?

What I mean is when estimating parameter of AR(3) model or residual of AR(3) model, is data from 1980M1 to 1980M6 included for estimating?

Q2:

I input monthly data from 1980M1 to 1990M12.  I set the sample range from 1980M1 to 1988M12(I want to use data from 1989M1 to 1990M12 for out-of sample forecasting)

When estimating AR(1), the using observations is from 1980M2 to 1990M12(number of observation: 131)

When estimating AR(2), the using observations is from 1980M3 to 1990M12(number of observation: 130)

When estimating AR(3), the using observations is from 1980M4 to 1990M12(number of observation: 129)

 

Can I compare MAPE(Mean Absolute Percentage Error) value (from 1989M1 to 1990M12) of these three models when their period and number of using observations are different?

 

Thanks a lot