MODELSTATISTICS Subcommand (TSAPPLY command)

The MODELSTATISTICS subcommand controls display of a table listing all models along with chosen goodness-of-fit statistics. Note that if models are not reestimated, model fit statistics are loaded from the model file.

Example

PREDICT THRU YEAR 2006 MONTH 6.
TSAPPLY
  /MODELDETAILS PRINT=FORECASTS
  /AUXILIARY REESTIMATE=YES
  /MODELSTATISTICS DISPLAY=YES MODELFIT=RSQUARE
  /MODEL FILE='/models/models.xml'.

• The output includes a table displaying the value of R-squared for each model.

DISPLAY Keyword

The DISPLAY keyword controls whether the model statistics table is shown.

YES. Model statistics table is shown. Table of model goodness of fit, Ljung-Box Q statistic, and number of outliers by model. This setting is the default. The Q statistic measures the degree of pattern in the residuals. Large values of Q in relation to its degrees of freedom indicate that model residuals are not randomly distributed.

NO. Model statistics table is not shown.

MODELFIT Keyword

The MODELFIT keyword controls which fit statistics are shown in the model statistics table, and this keyword is ignored if DISPLAY=NO. The keyword is followed by an equals sign (=) and one or more of the following options enclosed in square brackets. (For detailed definitions of the following terms, see Goodness-of-Fit Measures (TSAPPLY command).)

SRSQUARE. Stationary R-square. This setting is the default.

RSQUARE. R-Square.

RMSE. Root Mean Square Error.

MAPE. Mean Absolute Percentage Error.

MAE. Mean Absolute Error.

MAXAPE. Maximum Absolute Percentage Error.

MAXAE. Maximum Absolute Error.

NORMBIC. Normalized Bayesian Information Criterion (BIC).