منابع مشابه
Comment on 'forecast Rationality Tests Based on Multi-horizon Bounds'
I enjoyed reading yet another paper by Patton and Timmermann (PT hereinafter) and feel that it has broken new ground in testing the rationality of a sequence of multi-horizon fixed target forecasts. Rationality tests are not new in the forecasting literature, but the idea of testing the monotonicity properties of second moment bounds across several horizons is novel and can suggest possible sou...
متن کاملForecast Rationality Tests Based on Multi-Horizon Bounds
Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared forecast error should be increasing in the horizon, and the mean squared forecast should be decreasing in the horizon. We propose rationality tests based on these restrictions, including new ones that can be conducted without data on the targ...
متن کاملForecast horizon of multi-item dynamic lot size model with perishable inventory
This paper studies a multi-item dynamic lot size problem for perishable products where stock deterioration rates and inventory costs are age-dependent. We explore structural properties in an optimal solution under two cost structures and develop a dynamic programming algorithm to solve the problem in polynomial time when the number of products is fixed. We establish forecast horizon results tha...
متن کاملRobust Forecast Comparison*
Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast evaluation which is based on the entire distribution of forecast errors. We introduce the concepts of g...
متن کاملModeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee’s Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-hor...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2979352