Re: [Gretl-users] need help regarding ARIMA forecasting
On Fri, 1 May 2009, manish shukla @iimk wrote:
I am forecasting on a 25 months sales data, taking 24 months
data to fit the model and 1 month for forecasting I am getting
some negative values in the forecast which is not possible so
how to report them, or how to calcualte RMSE, MAPE etc.
To avoid predicting negative values, express the dependent
variable in log form.
Example calculation of calculate RMSE, MAPE:
<script>
open data9-7
# reserve 6 observations
smpl ; 1989:2
arima 1 1 1 ; QNC 0 INCOME
fcast 1989:3 1990:4
# focus on the out-of-sample period
smpl 1989:3 1990:4
series fc = $fcast
series err = QNC - fc
print QNC fc err --byobs
scalar RMSE = sqrt(sum(err^2)/6)
scalar MAPE = sum(abs(err)) / 6
</script>
Allin Cottrell