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Qualitative Forecast Evaluation: A Comparison of Two Performance Measures

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  • McIntosh, Christopher
  • Dorfman, Jeffrey

Abstract

Agricultural producers and marketers often have access to several sets of forecasts on the same series. Decision makers must be able to evaluate the relative accuracy of the forecasts. The ability to evaluate whether a series will move up or down is important for series related to futures, options, other asset prices, and situations where processes can be modified according to changing economic conditions. A measure of qualitative forecast accuracy from Naik and Leuthold is compared to a probability-based measure developed by Henriksson and Merton. The Henriksson-Merton measure is shown to provide additional, and more accurate, information concerning a model's qualitative forecasting ability.
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Suggested Citation

  • McIntosh, Christopher & Dorfman, Jeffrey, 1991. "Qualitative Forecast Evaluation: A Comparison of Two Performance Measures," WAEA/ WFEA Conference Archive (1929-1995) 321479, Western Agricultural Economics Association.
    • Handle: RePEc:ags:waeaar:321479
    DOI: 10.22004/ag.econ.321479
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    References listed on IDEAS

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    1. Kling, John L, 1987. "Predicting the Turning Points of Business and Economic Time Series," The Journal of Business, University of Chicago Press, vol. 60(2), pages 201-238, April.
    2. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
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    9. Sanders, Dwight R. & Manfredo, Mark R., 2005. "A Test of Forecast Consistency Using USDA Livestock Price Forecasts," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19042, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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