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An MSE statistic for comparing forecast accuracy across series

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  • Thompson, Patrick A.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-45P4GPG-5J/2/babfb3cd0b366dba409d671f80937b14
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 6 (1990)
    Issue (Month): 2 (July)
    Pages: 219-227

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    Handle: RePEc:eee:intfor:v:6:y:1990:i:2:p:219-227

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    Web page: http://www.elsevier.com/locate/ijforecast

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    Cited by:
    1. Thomassey, Sebastien & Happiette, Michel & Castelain, Jean-Marie, 2005. "A global forecasting support system adapted to textile distribution," International Journal of Production Economics, Elsevier, Elsevier, vol. 96(1), pages 81-95, April.
    2. Shah, Chandra, 1997. "Model selection in univariate time series forecasting using discriminant analysis," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(4), pages 489-500, December.
    3. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    4. Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 13/05, Monash University, Department of Econometrics and Business Statistics.
    5. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
    6. Theodosiou, Marina, 2011. "Forecasting monthly and quarterly time series using STL decomposition," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1178-1195, October.
    7. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
      [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]
      ," MPRA Paper 8602, University Library of Munich, Germany.
    8. JS Armstrong & Robert Fildes, 2004. "Correspondence On the Selection of Error Measures for Comparisons Among Forecasting Methods," General Economics and Teaching, EconWPA 0412002, EconWPA.

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