[R-SIG-Finance] Measurement of forecasting accuracy-GFESM

babel at centrum.sk babel at centrum.sk
Wed Sep 2 22:45:17 CEST 2009

Hi users

Does anyone of you know or use the different measurement of forecasting accuracy, such as General error forecast second moment (GFESM) or Trace mean square error criterion (TMSFE) suggested by Clements and Hendry. Are there any implantations of these criterions in R? 

for details see http://books.google.sk/books?id=aJ966QLx0WAC&pg=PA74&lpg=PA74&dq=GFESM&source=bl&ots=uDIsI6awEt&sig=0K6wN2fQp5sLvnYgY61N_SOg3Ls&hl=sk&ei=4LKeSpGeOMHDsgaZh-C2AQ&sa=X&oi=book_result&ct=result&resnum=4#v=onepage&q=GFESM&f=false

Thank you very much

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