It's true that once I have the true values and the predicted values, I can manually calculate those fit measures. It only gave the predicted values during the "forecast period." 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. My question though is how do I get a separate error measurements (fit measures like RMSE, MAE, MASE, etc.) on just the holdout sample. 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"). You need to get the variable for which you wish to calculate the median into the Variable (s) box on the right. This will bring up the Frequencies dialog box. Click Analyze -> Descriptive Statistics -> Frequencies. Then, I created a time series using Expert Modeler in Forecasting. There are a number of different ways of calculating the median in SPSS. 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).
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