Forecasting with Local level & Arima

Discussion of State Space and Dynamic Stochastic General Equilibrium Models
asemota omos
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Joined: Fri Aug 14, 2009 2:08 am

Forecasting with Local level & Arima

Unread post by asemota omos »

Hi,
please, can someone help me out? i am evaluating the forecasting performance of state space model (local level) and Arima of a univariate series..
How do I use RATS to generate and graph the following statistics for both models (ARIMA & State space) for my forecast horizon
1. mean forecast error
2. mean absolute percent error
3. Root mean square error
Actually, I am trying to Use Rats to generate plots like the one in the paper by Rick L Andrews
"Forecasting Performance of Structural Time series models" Journal of Business and Economic Statistics, Jan 1994, vol. 12,
No. 1. Rick L. Andrews
I will be grateful for your kind help
THanks
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