Dear Morne
The International Journal of Forecasting (IJF) has discussed this in detail.
Start with Tashman (2000) Out-of-sample tests of forecasting accuracy - an
analysis and review science, and the many papers on evaluating forecasting
accuracy with contributions by Collopy, Fildes, Armstrong and Hyndman in the
IJF.
Hope this helps ...
Kind regards
Sven
______________________________________________________
Dr. Sven F. Crone
Assistant Professor in Management Science (Lecturer)
Deputy Director, Lancaster Research Centre for Forecasting
Lancaster University Management School
Department of Management Science
Lancaster LA1 4YX, United Kingdom
Tel +44 (0)1524 592991direct
Tel +44 (0)1524 593867 department - Fax +44 (0)1524 844885
Internet http://www.lums.lancs.ac.uk - eMail [log in to unmask]
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Sent: Monday, May 04, 2009 6:28 PM
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Subject:
Hi
I've got a model that makes predictions on exchange rates. I want to test
how good my predictions are. I have been using the coefficient of
determination (R-squared) to test my predictions. Is this measure
appropriate to use in this context, where the data is based on ratios? (I'm
wondereing thinking of fact that one has to use geometric mean and not
arithmetic mean for certain types of data.)
You can send replies to [log in to unmask]<mailto:[log in to unmask]>
Thanks
Regards
Morne
PhD Student
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