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]
- 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 !