The forecastability quotient reconsidered

Using a large sample of time series, Hill et al. (2015) developed a procedure that aims to predict whether a series is “forecastable”; that is, whether the standard deviation of the time series will later prove to be larger than that of the forecast errors. Their analysis is based on forecasting using Holt's method of exponential smoothing. We show that Holt's method is the wrong one to use for their time series, and we present a number of other corrections and objections to their analysis.