The Unemployment Rate Forecasts Evaluation Using New Aggregated Accuracy Indicators

In this study, the unemployment rate forecasts for Romania were assessed using the predictions provided on the horizon 2006-2013 by three experts in forecasting or forecasters (F1, F2 and F3). The absolute and relative accuracy indicators, excepting mean relative absolute error (MRAE) indicated that F3 forecasts are the most accurate on the mentioned horizon. The high value of this indicator brought differences in accuracy hierarchy. New aggregated accuracy indicators were proposed (modified sum of summary statistics- S1, sum of relative accuracy measures- S2 and sum of percentage for directional and sign accuracy- S3). The contradictory results of S1 and S2 were solved by the method of relative distance with respect to the best forecaster that indicated F2 forecasts for unemployment rate forecasts in Romania as the best. It is clearly that F3 outperformed the other experts as directional and sign accuracy. The Diebold-Mariano test identified F1 predictions as the less accurate, but significant accuracy differences were not found between F3 and F2 predictions