Despite the obvious desirability of formal testing procedures, earlier efforts at assessing the forecast accuracy of an estimated model revolved around the calculation of summary forecast error statistics e.g., see Klein (1991); Clements and Hendry (1993); Wallis (1995); Newbold, Harvey, and Leybourne (1999); and Stock and Watson (1999). Resort to such an informal approach may be ascribed mainl...

In this chapter four combinations of input features and the feedforward, cascade forward and recurrent architectures are compared for the task of forecast tourism time series. The input features of the ANNs consist in the combination of the previous 12 months, the index time modeled by two nodes used to the year and month and one input with the daily hours of sunshine (insolation duration). The...

It is important to evaluate forecast accuracy using genuine forecasts. That is, it is invalid to look at how well a model fits the historical data; the accuracy of forecasts can only be determined by considering how well a model performs on new data that were not used when estimating the model. When choosing models, it is common to use a portion of the available data for testing, and use the re...

Central Mediterranean Sea forecast: effects of high-resolution atmospheric forcings S. Natale, R. Sorgente, S. Gaberšek, A. Ribotti, and A. Olita IMC – International Marine Centre, Loc. Sa Mardini, 09170 Oristano, Italy IAMC/CNR-Istituto Ambiente Marino Costiero, Sede di Oristano, c/o IMC –International Marine Centre, Loc. Sa Mardini, 09170 Oristano, Italy now at: University of Ljubljana, Depar...

Short-term traffic flow forecasting is an important aspect of the ITS as traffic predication can alleviate congestion, which causes drivers to incur a longer traveling time and economical loses. In addition, traffic congestion increases the pollution and the fuel usage. Thus, it is one of the severe problems in Metropolitan areas. Further, in tunnels the forecasting may help scheduling the vent...

This paper examines the predictive power of weather for electricity prices in dayahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather forecasts can price the weather premium. This improvement strengthens the confidence in the forecasting mo...

A weighted replicator dynamic describes how agents switch between a forecast based on fundamentals, a rational bubble forecast and a re‡ective forecast, a weighted average of the former two. If the innovations to the extraneous martingale have a similar magnitude to those of the dividend process and agents are su¢ ciently aggressive in switching forecasting strategies, a signi…cant portion of t...

Are forecast updates progressive? Chia-Lin Chang a,b,∗, Philip Hans Franses c, Michael McAleer c,d,e,f a Department of Applied Economics, National Chung Hsing University, Taichung, Taiwan b Department of Finance, National Chung Hsing University, Taichung, Taiwan c Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands d Tinbergen Institute, The Netherl...

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast evaluation which is based on the entire distribution of forecast errors. We introduce the concepts of g...