I hope I am not missing something obvious, but I would like to know how to obtain the decomposition of Theil's U (into bias, regression, and residuals).
Any information anybody has about this would be very welcome.
Decomposition of Theil U?
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Decomposition of Theil U?
by DanielBachman » Wed Dec 12, 2007 12:17 pm
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by TomDoan » Wed Dec 12, 2007 5:53 pm
Theil's statistics for decomposition of forecast error aren't the same as the Theil's U statistics produced by the THEIL instruction. What I think you want are computed by the uforeerrors procedure with the theildecomp option. A couple of the Pindyck and Rubinfeld examples (pr08-2.prg and pr08-3.prg) use it.
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by DanielBachman » Thu Dec 13, 2007 10:06 am
Thank you for the prompt and clear reply. I knew you had to have the answer somewhere!
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