Anderson 8 out of sample criteria cont call this

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Unformatted text preview: the difference between your prediction and the truth Economics 20 - Prof. Anderson 8 Out-of-Sample Criteria (cont) Call this difference the forecast error, which is ên+h+1 for h = 0, 1, …, m Calculate the root mean square error (RMSE) Economics 20 - Prof. Anderson 9 Out-of-Sample Criteria (cont) Call this difference the forecast error, which is ên+h+1 for h = 0, 1, …, m Calculate the root mean square error and see which model has the smallest, where −1 2 ˆ RMSE = m ∑ en + h +1 h =0 m −1 Economics 20 - Prof. Anderson 12 10...
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