Object Reference : Object View and Procedure Reference : Series
Average different forecasts of a series.
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).
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.
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.
Set the power to which the MSE values are raised in the MSE ranks method. Only applicable if the “mseranks” option is used.
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.
Specify the sample used for calculating the averaging weights. Only applicable if the “ols”, “mse”, “mseranks”, “aic” or “sic” options are used.
Set the name of the final averaged series.
Save the weights into a vector in the workfile with the name wgtname.
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.