Object Reference : Object View and Procedure Reference : Series
  
 
forcavg
Average different forecasts of a series.
Syntax
series.forcavg(options) forecast_data
You should specify the forecast data to be averaged by entering a list of objects as forecast_data. The list may be a list of series objects, a group object, a series naming pattern (such as “f*” to indicate all series starting with the letter “F”), or a list of equation objects.
If a list of equations is entered, EViews will automatically forecast from those equation objects over the forecast sample (the current workfile sample).
Options
 
wgt=”key”
Set the type of averaging to use. key can be “mean” (default), “trmean” (trimmed-mean), “med” (median), “ols” (least squares weights), “mse” (mean square error weights), “ranks”, (MSE ranks), “aic” (Smoothed AIC weights), or “sic” (BMA weights). “aic” and “sic” are only available if a list of equations is provided as the forecast_data.
trim=num
Set the level of trimming for the Trimmed mean method. Num should be a number between 1 and 100. Only applicable if the “trmean” option is used.
msepwr=int
Set the power to which the MSE values are raised in the MSE ranks method. Only applicable if the “mseranks” option is used.
s
Use a static (rather than dynamic) forecast when computing the forecasts over the training sample. Only applicable if forecast_data is a list of equation objects.
trainsmpl=arg
Specify the sample used for calculating the averaging weights. Only applicable if the “ols”, “mse”, “mseranks”, “aic” or “sic” options are used.
name=arg
Set the name of the final averaged series.
wgtname=arg
Save the weights into a vector in the workfile with the name wgtname.
Example
The commands
wfopen elecdmd.wf1
elecdmd.forcavg(trainsmpl="2012M1 2012M12", wgt=mse) elecf_fe*
open the workfile elecdmd.wf1 and then perform forecast averaging using the actual series ELECDMD, and the forecast series specified by the naming pattern ELECF_FE*.
The averaging method MSE is used. A training sample of 2012M1 to 2012M12 is used to calculate the weights in the MSE and MSE Ranks methods.
See “Forecast Averaging” for additional discussion.
See also Series::forceval.