Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter
نویسندگان
چکیده
منابع مشابه
Testing Forecast Accuracy
Despite the obvious desirability of formal testing procedures, earlier efforts at assessing the forecast accuracy of an estimated model revolved around the calculation of summary forecast error statistics e.g., see Klein (1991); Clements and Hendry (1993); Wallis (1995); Newbold, Harvey, and Leybourne (1999); and Stock and Watson (1999). Resort to such an informal approach may be ascribed mainl...
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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 ...
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It is important to evaluate forecast accuracy using genuine forecasts. That is, it is invalid to look at how well a model fits the historical data; the accuracy of forecasts can only be determined by considering how well a model performs on new data that were not used when estimating the model. When choosing models, it is common to use a portion of the available data for testing, and use the re...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3064863