In a recent post on his excellent
Hyndsight
blog, Rob Hyndman compared the results of the R forecasting package with those
of some commercial automatic forecasting software packages using data
from the M3
forecasting competition.
We don’t consider EViews to be an
automatic forecasting package, but EViews does include two of the most widely
used forecasting techniques; Box-Jenkins ARIMA
models, and Error, Trend,
Season (ETS) exponential smoothing models, and includes “automatic
selection” versions of both techniques, letting EViews decide the best
specification for each.
You can view a demonstration of automatic ARIMA forecasting in EViews here:
