Overview (FIT command)

FIT displays a variety of descriptive statistics computed from the residual series as an aid in evaluating the goodness of fit of one or more models.

Options

Statistical Output. You can produce statistics for a particular residual series by specifying the names of the series after FIT. You can also obtain percent error statistics for specified residual series by specifying observed series on the OBS subcommand.

Degrees of Freedom. You can specify the degrees of freedom for the residual series using the DFE or DFH subcommands.

Basic Specification

The basic specification is simply the command keyword FIT. All other specifications are optional.

  • By default, FIT calculates the mean error, mean percent error, mean absolute error, mean absolute percent error, sum of squared errors, mean square error, root mean square error, and the Durbin-Watson statistic for the last ERR_n (residual) series generated and the corresponding observed series in the active dataset.
  • If neither residual nor observed series are specified, percent error statistics for the default residual and observed series are included.

Syntax Rules

  • If OBS is specified, the ERRORS subcommand naming the residual series is required.

Operations

  • Observed series and degrees of freedom are matched with residual series according to the order in which they are specified.
  • If residual series are explicitly specified but observed series are not, percent error statistics are not included in the output. If neither residual nor observed series are specified, percent error statistics for the default residual and observed series are included.
  • If subcommand DFH is specified, FIT calculates the DFE (error degrees of freedom) by subtracting the DFH (hypothesis degrees of freedom) from the number of valid cases in the series.
  • If a PREDICT period (validation period) starts before the end of the observed series, statistics are reported separately for the USE period (historical period) and the PREDICT period.

Limitations

  • There is no limit on the number of residual series specified. However, the number of observed series must equal the number of residual series.