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On the Importance of Verifying Forecasting Results

  • A. Talha Yalta
  • Olaf Jenal

We discuss the various sources of error in numerical computations with the use of examples from the literature relevant to time series analysis. We also submit a case where, by manual verification, we were able to discover a plausible forecast to be erroneous due to a number of software flaws in the XLSTAT addin for Microsoft Excel. Furthermore, after discussing the alternative techniques for implementing the ARIMA (AutoRegressive Integrated Moving Average) methodology on a computer, we show that different approaches can cause considerable discrepancies in the results across different programs, and even within a single software system.

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Paper provided by TOBB University of Economics and Technology, Department of Economics in its series Working Papers with number 0804.

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Date of creation: Jul 2008
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Handle: RePEc:tob:wpaper:0804
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  1. McCullough, B. D., 2000. "Is it safe to assume that software is accurate?," International Journal of Forecasting, Elsevier, vol. 16(3), pages 349-357.
  2. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  3. McCullough, B.D. & Wilson, Berry, 2005. "On the accuracy of statistical procedures in Microsoft Excel 2003," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1244-1252, June.
  4. B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
  5. D. McCullough, B. & Wilson, Berry, 2002. "On the accuracy of statistical procedures in Microsoft Excel 2000 and Excel XP," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 713-721, October.
  6. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  7. Keeling, Kellie B. & Pavur, Robert J., 2007. "A comparative study of the reliability of nine statistical software packages," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3811-3831, May.
  8. C. R. McKenzie & Sumiko Takaoka, 2007. "EViews 5.1," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1145-1152.
  9. McCullough, B. D. & Wilson, Berry, 1999. "On the accuracy of statistical procedures in Microsoft Excel 97," Computational Statistics & Data Analysis, Elsevier, vol. 31(1), pages 27-37, July.
  10. Kusters, Ulrich & McCullough, B.D. & Bell, Michael, 2006. "Forecasting software: Past, present and future," International Journal of Forecasting, Elsevier, vol. 22(3), pages 599-615.
  11. H. D. Vinod & B. D. McCullough, 1999. "Corrigenda: The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1565-1565, December.
  12. Yalta, A. Talha, 2008. "The accuracy of statistical distributions in Microsoft® Excel 2007," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4579-4586, June.
  13. McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr.
  14. McCullough, B.D. & Heiser, David A., 2008. "On the accuracy of statistical procedures in Microsoft Excel 2007," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4570-4578, June.
  15. Sawitzki, Gunther, 1994. "Testing numerical reliability of data analysis systems," Computational Statistics & Data Analysis, Elsevier, vol. 18(2), pages 269-286, September.
  16. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
  17. Newbold, Paul & Agiakloglou, Christos & Miller, John, 1994. "Adventures with ARIMA software," International Journal of Forecasting, Elsevier, vol. 10(4), pages 573-581, December.
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