Add to ORKGGiven two sources of forecasts of the same quantity, it is possible to compare prediction records. In particular, it can be useful to test the hypothesis of equal accuracy in forecast performance. We analyse the behaviour of two possible tests, and of modifications of these tests designed to circumvent shortcomings in the original formulations. As a result of this analysis, a recommendation forone particular testing approach is made for practical applications
This paper proposes a framework for the analysis of the theoretical properties of forecast combinati...
In Monte Carlo experiment with simulated data, we show that as a point forecast criterion, the Clark...
In any dataset with individual forecasts of economic variables, some forecasters will perform bette...
This paper introduces a complement statistical test for distinguishing between the predictive accura...
There is a vast literature that has been focusing on testing the forecasting performance of various ...
Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an impro...
Tests for relative predictive accuracy have become a widespread adden-dum to forecast comparisons. M...
This paper develops bootstrap methods for testing, whether, in a finite sample, competing out-of-sam...
A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empiri...
Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence...
This study evaluated measures for making comparisons of errors across time series. We analyzed 90 an...
We develop regression-based tests of hypotheses about out of sample prediction errors. Representativ...
This study evaluated measures for making comparisons of errors across time series. We analyzed 90 an...
We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessa...
Tiao and Xu (1993) proposed a test of whether a time series model, estimated by maximum likelihood, ...
This paper proposes a framework for the analysis of the theoretical properties of forecast combinati...
In Monte Carlo experiment with simulated data, we show that as a point forecast criterion, the Clark...
In any dataset with individual forecasts of economic variables, some forecasters will perform bette...
This paper introduces a complement statistical test for distinguishing between the predictive accura...
There is a vast literature that has been focusing on testing the forecasting performance of various ...
Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an impro...
Tests for relative predictive accuracy have become a widespread adden-dum to forecast comparisons. M...
This paper develops bootstrap methods for testing, whether, in a finite sample, competing out-of-sam...
A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empiri...
Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence...
This study evaluated measures for making comparisons of errors across time series. We analyzed 90 an...
We develop regression-based tests of hypotheses about out of sample prediction errors. Representativ...
This study evaluated measures for making comparisons of errors across time series. We analyzed 90 an...
We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessa...
Tiao and Xu (1993) proposed a test of whether a time series model, estimated by maximum likelihood, ...
This paper proposes a framework for the analysis of the theoretical properties of forecast combinati...
In Monte Carlo experiment with simulated data, we show that as a point forecast criterion, the Clark...
In any dataset with individual forecasts of economic variables, some forecasters will perform bette...