ETS models now in EViews 8

[This article was first published on Hyndsight » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

The ETS modelling framework developed in my 2002 IJF paper (with Koehler, Snyder and Grose), and in my 2008 Springer book (with Koehler, Ord and Snyder), is now available in EViews 8. I had no idea they were even working on it, so it was quite a surprise to be told that EViews now includes ETS models.

Here is the blurb from the release notes:

EViews 8 now offers support for exponential smoothing using the dynamic nonlinear model framework of Hyndman, Koehler, et al. (2002).

The ETS (Error-Trend-Seasonal or ExponenTial Smoothing) framework defines an extended class of exponential smoothing methods that encompasses standard ES models (e.g., Holt and Holt–Winters additive and multiplicative methods), but offer a variety of new methods.

In addition ETS smoothing offers a theoretical foundation for analysis of these models using state-space based likelihood calculations, with support for model selection and calculation of forecast standard errors.

ETS Smoothing

 

Until now, ETS models have only been available in R (the ets function in the forecast package). I believe SAS has also been working on including them, but nothing has appeared yet.

To leave a comment for the author, please follow the link and comment on their blog: Hyndsight » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)