IS THE PRECISION OF THE EX POST FORECAST ERRORS HELPFUL TO CHOOSE A GOOD FORECASTING MODEL?

Rok
2018
Volume
Volume 10, No 1-2
Strany / Pages
47 - 59
DOI
10.31577/PPFAR.2018.10.004
Autori / Authors
prof. RNDr. Eva Rublíková, PhD.
Ing. Katarína Karasová, PhD.
Jazyk / Language
EN
Publikované / Published
27.11.2018
Vydavateľ / Publisher
Prognostický ústav CSPV SAV
Dokument
Download
Popis / Abstract
In this paper we show possible ways of obtaining some information about applicability of forecasting model and its probable accuracy in computing ex ante forecasts using accuracy of ex post forecast errors, which are made at the same time when the extrapolative model is looking for. We will use the Theil coefficient of inequality to show how well the model fits the data during the time period for which the ex post forecasts are computed. The Theil decomposition of mean square of ex post forecast errors will be used to show sources of possible bias in their means or variances. Six months ex post forecasts will be computed for the unemployment rate in Slovakia using the SARIMA model in repeating mode to analyze its stability after adding six new observations and computing six months ex post forecasts.
Kľúčové slová / Keywords:
ex post and ex ante forecasts, Theil coefficient of inequality, Theil decomposition of mean square of ex post forecast errors, unemployment rate
Ako citovať / How to Cite:
ISO 690:
E. Rublíková, K. Karasová. 2018. Is the Precision of the Ex Post Forecast Errors Helpful to Choose a Good Forecasting Model?. In Prognostické práce – Foresight, Analysis and Reccomendations / PP – FAR, vol. 10, no. 1-2, pp.47-59. DOI: https://doi.org/10.31577/PPFAR.2018.10.004

APA:
E. Rublíková, K. Karasová. (2018). Is the Precision of the Ex Post Forecast Errors Helpful to Choose a Good Forecasting Model?. In Prognostické práce – Foresight, Analysis and Reccomendations / PP – FAR, 10 (1-2, 47-59. DOI: https://doi.org/10.31577/PPFAR.2018.10.004