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RBA Glossary definition for RMSEs

RMSEs – Root Mean Squared Errors

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Appendix D: Comparisons with Errors from Null Alternatives

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
Download the Paper 690. KB. Table D1: Underlying Inflation Forecast RMSEs – RBA and Random Walk. ... 1993:Q1–2011:Q4. Horizon. RMSE. Significance. R. 2. (quarters ahead). RBA. Random walk.
https://www.rba.gov.au/publications/rdp/2012/2012-07/appendix-d.html

How Do These Estimates Compare?

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
The RMSE of a random walk forecast equals the (uncentred) standard deviation of changes. ... Horizon. RMSE. Significance. (quarters ahead). RBA. Consensus. Ratio. p-value. 0. 0.80.
https://www.rba.gov.au/publications/rdp/2012/2012-07/how-estimates-compare.html

Other Properties of the Confidence Intervals

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
The light line in Figure 5, labelled ‘h > 7’, shows RMSEs from this matched sample. ... The RMSEs shown by this line have the same initial conditions, with only the horizon changing.
https://www.rba.gov.au/publications/rdp/2012/2012-07/other-properties-confidence-intervals.html

Appendix A: Measures of Uncertainty Presented by Foreign Central Banks

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
US Federal Reserve. RMSEs. Average of RMSEs for past 20 years of six leading forecasters. ... RMSEs of past forecast errors by Riksbank and implied forward rates (adjusted for risk premia), assuming normality.
https://www.rba.gov.au/publications/rdp/2012/2012-07/appendix-a.html

Alternatives and Limitations

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
Were we to include forecast errors from the recession and disinflation of the early 1990s, our RMSEs would increase. ... Were we to include the volatile 1970s and 1980s, our RMSEs would presumably increase further.
https://www.rba.gov.au/publications/rdp/2012/2012-07/alt-limitations.html

Estimates of Forecast Uncertainty

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
RMSEs are often used for this purpose. If forecast errors are normally distributed, there is about a two-thirds probability that actual outcomes will fall within one RMSE of the forecast, ... and about a 95 per cent probability that they fall within two
https://www.rba.gov.au/publications/rdp/2012/2012-07/estimates-forecast-uncertainty.html

Appendix B: Data

31 Dec 2012 RDP 2012-07
Peter Tulip and Stephanie Wallace
errors. However, the effect on forecast accuracy is tiny: subtracting predicted values from the errors lowers the RMSE by only 5 per cent at a 3-quarter-ahead horizon or by ... For example, as shown in Table 1, the RMSE of RBA 3-quarter-ahead forecasts
https://www.rba.gov.au/publications/rdp/2012/2012-07/appendix-b.html