Path Forecast Evaluation

Path Forecast Evaluation

A forecast path refers to the vector of forecasts over the next 1 to h periods into the future. These forecasts are correlated across horizons so that to properly understand the uncertainty associated with the forecast path, one requires the joint predictive density of the path rather than the collection of marginal predictive densities for each horizon. This paper derives the joint predictive ...

Multiple forecast model evaluation∗

Forecast Evaluation and Combination

Advances in Forecast Evaluation

This paper surveys recent developments in the evaluation of point forecasts. Taking West’s (2006) survey as a starting point, we brie‡y cover the state of the literature as of the time of West’s writing. We then focus on recent developments, including advancements in the evaluation of forecasts at the population level (based on true, unknown model coe¢ cients), the evaluation of forecasts in th...

Forecast Evaluation Tests - a New Approach

Out-of-sample tests are widely used for evaluating and selecting between models’ forecasts in economics and finance. Underlying these tests is often the assumption of constant relative performance between competing models, however this is invalid for many practical applications. In a world of changing relative performance, previous methodologies give rise to spurious and potentially misleading ...