After DLM estimation, How to calculate forecast error?
Posted: Mon Jul 27, 2009 7:17 am
Dear Tom,
May I ask a question about how to calculate the forecast error of a State space model I estimated using DLM?
For example, I want to calculate the forecast errors from the two models I estimated using Durkp162.r where one model with no explanatory variables and the other has some explanatory variables included. How should I perform such a calculation if I want to do some forecast ability comparation between models? Is there any example code that I could take some reference from?
Thank you very much!
May I ask a question about how to calculate the forecast error of a State space model I estimated using DLM?
For example, I want to calculate the forecast errors from the two models I estimated using Durkp162.r where one model with no explanatory variables and the other has some explanatory variables included. How should I perform such a calculation if I want to do some forecast ability comparation between models? Is there any example code that I could take some reference from?
Thank you very much!