1. How Do We Learn That Our Forecasting Model Works?
By Experiment

2. Experiment!
Make it your motto day and night
Experiment,
And it will lead you to the light.
Be curious…
And you will see!
Cole Porter

3. How To Conduct an Experiment for Forecasting?
By Designed Computing

4. Forecasting Experiment
Divide the sample into two sets:
Model building set
Forecasting set
Eviews procedures
smpl @all
sample s1 @first T
sample s2 T @last
smpl s1
smpl s2
Build models
Out-of-sample forecast

5. Statistics for Forecast Evaluation
RMSE =
MAE =
MAPE=

6. Theil’s Inequality Proportion
Theil’s Decomposition of MSE