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M1 and M2 indicators- new proposed measures for the global accuracy of forecast intervals

Author

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  • Mihaela Simionescu

    () (Romanian Academy, Institute for Economic Forecasting, Bucharest)

Abstract

This is an original scientific paper that proposes the introduction in literature of two new accuracy indicators for assessing the global accuracy of the forecast intervals. Taking into account that there are not specific indicators for prediction intervals, point forecasts being associated to intervals, we consider an important step to propose those indicators whose function is only to identify the best method of constructing forecast intervals on a specific horizon. This research also proposes a new empirical method of building intervals for maximal appreciations of inflation rate made by SPF’s (Survey of Professional Forecasters) experts. This method proved to be better than those of the historical errors methods (those based on RMSE (root mean square error)) for the financial services providers on the horizon Q3:2012-Q2:2013.

Suggested Citation

  • Mihaela Simionescu, 2014. "M1 and M2 indicators- new proposed measures for the global accuracy of forecast intervals," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 54-59, June.
  • Handle: RePEc:ntu:ntcmss:vol2-iss1-14-054
    as

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    File URL: http://cmss.univnt.ro/wp-content/uploads/vol/split/vol_II_issue_1/CMSS_vol_II_issue_1_art.007.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
    1. Henning Fischer & Marta García-Bárzana & Peter Tillmann & Peter Winker, 2014. "Evaluating FOMC forecast ranges: an interval data approach," Empirical Economics, Springer, vol. 47(1), pages 365-388, August.
    2. Yar, Mohammed & Chatfield, Chris, 1990. "Prediction intervals for the Holt-Winters forecasting procedure," International Journal of Forecasting, Elsevier, vol. 6(1), pages 127-137.
    3. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
    4. Taylor, James W. & Bunn, Derek W., 1999. "Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study," International Journal of Forecasting, Elsevier, vol. 15(3), pages 325-339, July.
    5. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
    6. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    forecast intervals; accuracy; historical errors method; RMSE; M1 indicator; M2 indicator;

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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