Year: 2019
Type: article
Abstract: Economic and financial time series are widely considered as one of the most challenging applications of modeling and forecasting. The increasing in forecasting availability and the controversial debate about the advantages of alternative forecasting procedures suggest the need of further research on the forecasting evaluation metrics.In this context, this paper focuses on two information-based accuracy measures: Theil´s U Index and the Quadratic Information Accuracy Measure (QIAM), and aims to re-examine the empirical results of the M3-Competition by Makridakis and Hibon (2000), and specifically those referred to the subset of macroeconomic and financial series.The computation of the proposed accuracy indicators leads to new rankings of forecasting techniques, showing some similarities and disagreements with the main conclusions by Makridakis & Hibon (2000), found on five error based accuracy measures. The obtained results also allow a complexity–accuracy analysis.
Source: Studies of Applied Economics
Institution: Universidad de Oviedo
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2694242375