#78 Decomposition of the sources of forecast error

closed
nobody
None
5
2015-03-12
2013-10-25
econometrics
No

Hello,

Tests on the quality of the forecast would be appreciated, for example:
- The decomposition of the Theil coefficient:
Um (bias), Us (Variance), Uc (covariance) [Um + Us + Uc = 1]

References :
- Theil, Henri, Applied Economic Forecasting, North Holland Publishing Company, 1966.
- Theil, Henri, Economic Forecasts and Policy, North Holland Publishing Company, 1961.

TSP and SAS offer these indices.

Thank you !

Discussion

  • Sven S.
    Sven S.
    2015-03-12

    • status: open --> closed
     
  • Sven S.
    Sven S.
    2015-03-12

    Please check out the "fcstats()" function and its documentation. About the Theil measures also look into the user guide.
    thanks,
    sven