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Correspondence on the selection of error measures for comparisons among forecasting methods

✍ Scribed by J. Scott Armstrong; Robert Fildes


Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
322 KB
Volume
14
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis


Abstract

Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an improvement to the Mean Square Error in comparing forecasting performance across data series. They based their conclusion on the fact that rankings based on GFESM remain unaltered if the series are linearly transformed. In this paper, we argue that this evaluation ignores other important criteria. Also, their conclusions were illustrated by a simulation study whose relationship to real data was not obvious. Thirdly, prior empirical studies show that the mean square error is an inappropriate measure to serve as a basis for comparison. This undermines the claims made for the GFESM.


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