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A Technical Note on a Direct Estimate of the Significance of Bias in Forecasts

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Author Info
Albert E. DePrince
Abstract

This paper provides a direct test for forecast bias using the Thiel equation. In this test the constant term is simply the difference between the mean of the forecast and the mean of the actual data. A simple data transformation leads to this specification of the constant term. The approach is expanded to include a function with additional independent variables where one is interested in the constant term being simply the difference of the means of the dependent and any one of the independent variables.

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File URL: http://www.mtsu.edu/%7Eberc/working/WP-DePrince-0306.pdf
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Paper provided by Middle Tennessee State University, Department of Economics and Finance in its series Working Papers with number 200602.

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Date of creation: Mar 2006
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Handle: RePEc:mts:wpaper:200602

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Web page: http://www.mtsu.edu/~berc/working/Economics_Working_Papers.html
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Related research
Keywords: forecast bias test for bias

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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This page was last updated on 2008-7-5.

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