Chapter 3 Forecast Evaluation

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to a benchmark are also briefly discussed.

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Year of publication:	2006
Authors:	West, Kenneth D.
Published in:	Handbook of economic forecasting ; 1. - Amsterdam : Elsevier North Holland, ISBN 978-0-444-51395-3. - 2006, p. 99-134
Subject:	forecast \| prediction \| out of sample \| prediction error \| forecast error \| parameter estimation error \| asymptotic irrelevance \| hypothesis test \| inference \| Prognoseverfahren \| Forecasting model \| Statistischer Fehler \| Statistical error \| Statistischer Test \| Statistical test \| Schätztheorie \| Estimation theory \| Wirtschaftsprognose \| Economic forecast \| Stichprobenerhebung \| Sampling

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Type of publication:	Article
Language:	English
Other identifiers:	10.1016/S1574-0706(05)01003-7 [DOI]
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014023703