[Gretl-devel] Re: Theil's U1 for fcstats (reloaded)
Am 03.03.2021 um 13:36 schrieb ESTEVEZ NUÑEZ JUAN CARLOS:
May be I´m wrong, but I suppose that Theil statistics need ordered
data to compute Y_t -Y_t-1 .
But perhaps I´m missing something.
Ah, so your topic is probably more closely related than I thought. I
think I see what you mean. Indeed the U_2 measure does not make sense
for unordered data. Maybe another reason to add the U_1 measure, which
just compares the actual and forecast within each observation. (With a
different interpretation, of course - I'm not saying that the two
variants mean the same thing.)
And in addition I think I agree that U_2 shouldn't be done in a cross
section.
thanks
sven
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