rmse vs see

CFA Level II
#1

are the root mean squared error and the standard error of the etimate both = (SSE/n-k-1)^(1/2) ?

#2

in a sense - yes they are but the major difference - RMSE pertains to sample that is OUT OF PERIOD. It is based on Actual vs. Predicted for a future period sample outside of original regression. SEE - pertains to in period sample.

#3

thanks.

#4

SEE = 1/ square root of n (number of observations)

#5

audrey that is not correct. This is the std error of the autocorrelations on Time series only. SEE = sqrt(SSE/(n-k-1)) on multiple and single variable regressions…

#6

ok, thanks. i thought it the same

#7

CP for SEE = 1/ square root of n (number of observations) it’s also the t-stat for the correclation coefficient for time series, right?