We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition and the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be inadequate, and many of them are degenerate in commonly occurring...

This study evaluates all USDA cotton supply and demand estimates for the United States and China (including unpublished price forecasts) from 1985/86 through 2009/10 for accuracy and efficiency. Results reveal that at every stage of the forecasting cycle forecast smoothing was the most...

We propose and explore several related ways of reducing reliance of point forecast accuracy evaluation on expected loss, E(L(e)), where e is forecast error. Our central approach dispenses with the loss function entirely, instead using a \stochastic error divergence" (SED) accuracy measure based...

We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 (\stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, showing that...

This paper analyzes forecasts, for ten key annually observed economic variables for the Netherlands, created by the Netherlands Bureau for Economic Policy Analysis (CPB) for 1971–2007. These CPB forecasts are all manually modified model forecasts, where the model is a (very) large...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

The Purchasing Managers' Index (PMI) is one of the key variables to which economists pay considerable attention for assessing US economic activities, particularly, business conditions in the manufacturing sector. Although the PMI has been used to assess the US economy, there is hardly any...