Hypothesis test for forecast

Hello,

I need to 'formally test' a forecast, I have the actual data and have created a forecast based on a computed beta (finance) and presume I need to use hypothesis testing to formally test the difference between the forecast and the actual.

Does anyone have any advice on what test to use? I am not sure whether a paired t test is appropriate because I am not certain that the two data classify as paired because all the examples I have read describe paired as the same person tested twice. Should I just look at a t test for difference between means or do you have another suggestion?

Thanks for your help.

Ever heard of "Goodness of fit?"

Can you specify exactly what you have forecasted? Is it a single value?

If you have a regression model you can fit a prediction interval as a comparison.

Thanks yes I studied it a few years ago.... I will have another look. Based on 4 years of historical data we calculated a beta coefficient to make a forecast for the 12 months of 2008. Then we needed to formally test our 12 months of 2008 to the actual 12 months. Goodness of fit still?

Quote:

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Originally Posted by pickslides

If you have a regression model you can fit a prediction interval as a comparison.

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We regressed initially to find the slope estimate that we inputted into the forecast, is this what you are referring to?