I split my data into "estimation" and "holdout" sample, using "Select Cases" (and select only the cases I want to use as the estimation sample). Then, I created a time series using Expert Modeler in Forecasting. Doing this already gave me predicted values for the holdout cases (since my holdout cases were included in the sheet as "active" rows and hence were considered "forecast period").
My question though is how do I get a separate error measurements (fit measures like RMSE, MAE, MASE, etc.) on just the holdout sample. My understanding is that the provided fit measures were for the estimation sample, but it didn't provide the same fit measures for the holdout sample. It only gave the predicted values during the "forecast period."
It's true that once I have the true values and the predicted values, I can manually calculate those fit measures. But I'm wondering whether there is a better way to do this?
More generally, given a set of observations and a set of predicted values, is there a function in SPSS that automatically calculates all those fit measures?
Is there a better way to do the model validation on the holdout sample?
Any advice would be appreciated!