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

Author

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  • 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.

Suggested Citation

  • Albert E. DePrince, 2006. "A Technical Note on a Direct Estimate of the Significance of Bias in Forecasts," Working Papers 200602, Middle Tennessee State University, Department of Economics and Finance.
  • Handle: RePEc:mts:wpaper:200602
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    File URL: http://capone.mtsu.edu/berc/working/WP-DePrince-0306.pdf
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    More about this item

    Keywords

    forecast bias; test for bias;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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