Thanks, Kit. But why do you square the correlation?
Danielle
--
National Bureau of Economic Research <http://www.nber.org>
---------- Original Message -----------
From: Kit Baum <[email protected]>
To: [email protected]
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
> http://ideas.repec.org/e/pba1.html
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