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Math Help - Hypothesis test for forecast

  1. #1
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    Arrow 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.
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  2. #2
    Super Member Anonymous1's Avatar
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    Ever heard of "Goodness of fit?"

    Can you specify exactly what you have forecasted? Is it a single value?
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  3. #3
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    If you have a regression model you can fit a prediction interval as a comparison.
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  4. #4
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    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?
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  5. #5
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    Quote Originally Posted by pickslides View Post
    If you have a regression model you can fit a prediction interval as a comparison.
    We regressed initially to find the slope estimate that we inputted into the forecast, is this what you are referring to?
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