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

Albert E. DePrince

No 200602, Working Papers from Middle Tennessee State University, Department of Economics and Finance

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.

Keywords: forecast bias; test for bias (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-ecm and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:mts:wpaper:200602

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