Forecasting in Business and Economics

  1. Evaluating Forecast Accuracy and Performance
    1. The Concept of Forecast Error
      1. Types of Forecast Error
        1. One-Step Ahead Error
          1. Multi-Step Ahead Error
            1. Direct vs. Recursive Forecasting
            2. Error Decomposition
              1. Bias Component
                1. Variance Component
                  1. Covariance Component
                2. Scale-Dependent Error Metrics
                  1. Mean Error
                    1. Mean Absolute Error
                      1. Mean Squared Error
                        1. Root Mean Squared Error
                          1. Median Absolute Error
                          2. Percentage Error Metrics
                            1. Mean Absolute Percentage Error
                              1. Symmetric Mean Absolute Percentage Error
                                1. Mean Absolute Percentage Error Limitations
                                2. Scaled Error Metrics
                                  1. Mean Absolute Scaled Error
                                    1. Relative Mean Absolute Error
                                    2. Relative Error Metrics
                                      1. Relative Root Mean Squared Error
                                        1. Theil's U Statistic
                                        2. Comparing Forecast Models
                                          1. In-Sample vs. Out-of-Sample Evaluation
                                            1. Training and Test Sets
                                              1. Cross-Validation
                                                1. Rolling Origin Evaluation
                                                  1. Expanding Window
                                                    1. Fixed Window
                                                      1. k-Fold Cross-Validation for Time Series
                                                      2. Statistical Tests for Forecast Comparison
                                                        1. Diebold-Mariano Test
                                                          1. Harvey-Leybourne-Newbold Test
                                                        2. Forecast Bias
                                                          1. Measuring Bias
                                                            1. Sources of Bias
                                                              1. Adjusting for Bias
                                                                1. Bias-Variance Tradeoff
                                                                2. Tracking Signals
                                                                  1. Cumulative Error Tracking
                                                                    1. Control Charts
                                                                      1. Trigg and Leach Tracking Signal
                                                                      2. Prediction Intervals
                                                                        1. Constructing Prediction Intervals
                                                                          1. Parametric Methods
                                                                            1. Bootstrap Methods
                                                                              1. Interpreting Prediction Intervals
                                                                                1. Interval Coverage Assessment
                                                                                2. Forecast Value Assessment
                                                                                  1. Economic Value of Forecasts
                                                                                    1. Decision-Theoretic Evaluation
                                                                                      1. Cost-Loss Analysis

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                                                                                    5. Quantitative Forecasting: Causal Models

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                                                                                    7. Advanced Forecasting Topics