[Gretl-devel] Theil's U1 for fcstats (reloaded)

Hi, an old issue resurfaced here recently, and I dug out this old thread: (hope the link works, it starts on May 6th, 2017:) https://gretlml.univpm.it/hyperkitty/list/gretl-devel@gretlml.univpm.it/t... The point is that we might want to have Theil's U1 measure in addition to the U2 measure which is in fcstats() and in the guide. U1 has a different interpretation, but also works if some values are zero. The guide says in a footnote: "This statistic is sometimes called U 2, to distinguish it from a related but different U defined in an earlier work by Theil (1961). It seems to be generally accepted that the later version of Theil’s U is a superior statistic, so we ignore the earlier version here." But I don't think it's purely a matter of superior or not, it's just different. (For U1 I'm quoting myself: "U1 being basically, using some obvious notation: numerator = sqrt(mean((my-mfc).^2)) denom = sqrt(mean(mfc.^2)) + sqrt(mean(my.^2)) out = numerator/denom -- This only breaks down if all observations are zero and if those are all correctly and exactly forecast.") Would it be OK to simply extend the result of fcstats()? thanks sven