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RBA Glossary definition for RMSEs

RMSEs – Root Mean Squared Errors

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Econometric Analysis

31 Dec 2015 RDP 2015-06
David Rodgers
The aggregate level of credit losses predicted by Model C fits actual losses quite closely (the RMSE is 0.15), so this model provides a macro-level explanation that, while suffering ... This omission of lending standards is partly responsible for the
https://www.rba.gov.au/publications/rdp/2015/2015-06/eco-analysis.html

Forecasting Performance Comparison

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
To evaluate the forecasting performance of the models we construct out-of-sample forecasts and compute their RMSE. ... Table 4: RMSE of BVAR-DSGE 2002:Q1–2007:Q4, VAR(3). Variable. One quarter ahead.
https://www.rba.gov.au/publications/rdp/2008/2008-04/for-per-comparisons.html
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Out-Of-Sample Forecasting

1 Nov 1996 RDP 9606
Ellis W. Tallman and Naveen Chandra
For each forecast horizon from 1 to 8 periods into the future, the root mean squared error (RMSE) is generated for each model. ... forecast. In our case, if the financial aggregates add no value to the forecast, the two VAR model alternatives should have
https://www.rba.gov.au/publications/rdp/1996/9606/out-of-sample-forecasting.html
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Combining Multivariate Density Forecasts Using Predictive Criteria

14 May 2008 RDP PDF 352KB
While point forecast combinationsare usually evaluated according to root mean squared errors (RMSE), the criteriafor evaluating density forecasts are less clear cut. ... For point forecasts,accuracy is usually interpreted to mean that the forecast errors
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-02.pdf

Credit Losses at Australian Banks: 1980–2013

8 May 2015 RDP PDF 1495KB
Research Discussion Paper. Credit Losses at Australian Banks: 1980–2013. David Rodgers. RDP 2015-06. The contents of this publication shall not be reproduced, sold or distributed without the prior consent of the Reserve Bank of Australia and,
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-06.pdf

Introduction

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
2007). While point forecast combinations are usually evaluated according to root mean squared errors (RMSE), the criteria for evaluating density forecasts are less clear cut.
https://www.rba.gov.au/publications/rdp/2008/2008-02/introduction.html
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The Performance of Trimmed Mean Measures of Underlying Inflation

27 Mar 2013 RDP PDF 406KB
6. average of monthly headline CPI inflation rates. In Section 5.3, we calculate the root mean squared error (RMSE) of the candidate measures with respect to similar measures of trend
https://www.rba.gov.au/publications/rdp/2006/pdf/brischetto-richards-final-paper-2007-05.pdf

Component-smoothed Inflation: Estimating the Persistent Component of Inflation in Real Time

11 Dec 2006 RDP PDF 312KB
d) Root-mean-squared error (RMSE) of difference in inflation rates from a centred 9-term Henderson trend, in percentage points. ... b) The seasonally adjusted series produced by the BLS. (c) RMSE of difference in inflation rates from a centred 23-term
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-11.pdf

A Random Walk Around the $A: Expectations, Risk, Interest Rates and Consequences for External Imbalance

19 Nov 2012 RDP PDF 1760KB
Judged by the root mean square error. (RMSE) over the sample period, both the average market participants' four-week. ... RMSE for the no-change forecast of 3.1 %. 6 Table 2 reports estimates of equation (3).
https://www.rba.gov.au/publications/rdp/1989/pdf/rdp8906.pdf

A Tale of Two Surveys: Household Debt and Financial Constraints in Australia

2 Dec 2009 RDP PDF 168KB
A TALE OF TWO SURVEYS: HOUSEHOLD DEBT AND FINANCIAL CONSTRAINTS IN AUSTRALIA. Gianni La Cava and John Simon. Research Discussion Paper 2003-08. July 2003. Economic Research Reserve Bank of Australia. The authors thank Jeremy Lawson for assisting in
https://www.rba.gov.au/publications/rdp/2003/pdf/rdp2003-08.pdf