Greetings all,
I'm running a VECM model and I need to use some standardized measures to show the efectiveness of my model (like RMSE, MAE and MAPE). But I've been habing trouble to find them. I'm trying to do a pseudo-out of sample forecast with my VECM model so I can find the values of RMSE, MAE and MAPE with the command 'fcstats' (I'm basically comparring the true value of the variables with the pseudo out-of-sample forecast). The problem here is that I'm getting very bad results for the measurements. Does anyone knows how to do pseudo out of sample forecast with VECM models and find those measures? I'm guessing my troubles are because of the code I'm using.
I'm running a VECM model and I need to use some standardized measures to show the efectiveness of my model (like RMSE, MAE and MAPE). But I've been habing trouble to find them. I'm trying to do a pseudo-out of sample forecast with my VECM model so I can find the values of RMSE, MAE and MAPE with the command 'fcstats' (I'm basically comparring the true value of the variables with the pseudo out-of-sample forecast). The problem here is that I'm getting very bad results for the measurements. Does anyone knows how to do pseudo out of sample forecast with VECM models and find those measures? I'm guessing my troubles are because of the code I'm using.
