Forecasting
Overview
1
Prepare for Forecasting
1.1
Graph the Time Series
1.2
Train and Test
1.3
AR(1) and VAR models
OLS AR-1
VAR
2
Forecasting
2.1
One-Step Ahead Model vs Dynamic AR(1) Model
Train the model
One-Step Ahead Model
Dynamic Model
Graph Model
Root Mean Squared Error (RMSE)
Mean Absolute Error (MAE)
2.2
One-Step Ahead VAR Model
Train the Model
One-Step-Ahead Forecast of VAR Model
Dynamic Forecast of VAR Model
2.2.1
Calculate RMSE and MAE
2.3
Compare AR(1) and VAR models
Compare Results with RMSE and MSE
Graph the Forecasts
References
Published with bookdown
Forecasting
Forecasting
Samuel Rowe adapted from Wooldridge (2011)
2025-09-20
Overview
Preparing for Forecasting
Forecasting and Comparing Models