Insample fit | Out-of-sample projection | |||
---|---|---|---|---|
Classic EPP | r-Trend model | Classic EPP | r-Trend model | |
Coverage | 86.7% | 87.7% | 76.5% | 80.1% |
Width | 0.071 | 0.070 | 0.097 | 0.077 |
MAE | 0.017 | 0.016 | 0.029 | 0.023 |
ME | 0.002 | 0.002 | 0.008 | −0.002 |
Computing time | 1.28 h | 1.76 h | 1.34 h | 1.50 h |
The results of insample fit are evaluated through the entire data period and the results of out-of-sample projection are evaluated in the 5-year projection period.
EPP, Estimation and Projection Package.