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What is the best prediction measure when the dependent variable has a high autocorrelation?

原文 2018-11-15 01:22:35 2 0 machine-learning/ regression/ measure

I am working on predicting a dependent variable on a panel data.

I need to choose the prediction measure however I have the following issues:

I am working with a panel data and therefore mixing time steps and different individuals
The dependent variable is highly autocorrelated (the dependent variable is a yearly measure that I shift on a monthly basis and therefore is highly autocorrelated and sometimes has the same value for a number of periods)

I worked with the R-squared, however, I believe there is some perverse effect due to the previous points and looking for a correction of the measure.

Thank you.

0 answers

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Related Question What is the best measure for ACCURACY in MACHINE LEARNING What metric to use to define model performance when the change in dependent variable is very small? How to obtain a confidence interval or a measure of prediction dispersion when using xgboost for classification? Regression RMSE when dependent variable is log transformed TFLearn DNN has the same prediction no matter what the input it What is the right way to measure if a machine learning model has overfit? What should I choose as a target variable for price prediction? Why is my MSE so high when the difference between test and prediction values are so close? Why does `predict` in R when using a glmnet model return a high dimensional prediction? In Tensorflow, when using a prediction i.e. 'print(prediction[0][0])', what are the values [0][0] actually referencing?

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