[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: R-squared with ARIMA
Thanks, Kit. But why do you square the correlation?
National Bureau of Economic Research <http://www.nber.org>
---------- Original Message -----------
From: Kit Baum <email@example.com>
Sent: Thu, 15 Jun 2006 11:47:45 -0400
Subject: st: R-squared with ARIMA
> A measure of R^2 that does not depend on the method of computation
> is the squared correlation between observed and in-sample forecast
> values. Indeed, the forecast values could come from a subjective
> process or a crystal ball. But if you can generate in-sample
> forecasts from your models, you can always compute this measure.
> Kit Baum, Boston College Economics
* For searches and help try: