Forecast Evaluation

This preprint reviews several statistical tests for (out-of-sample) forecast evaluation. In particular, it contains formulations and discussions of assumptions underlying these tests. Moreover, the preprint extends the applicability of the prediction accuracy tests of Giacomini and White (2006) to forecasts obtained with a recursive estimation scheme but "almost entirely'' dependent on the most recent observations.

MoreLess

Year of publication:	2015-03
Authors:	Kurennoy, Alexey
Institutions:	Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Subject:	prediction accuracy \| hypothesis test \| near-epoch dependence

More details

Series:	Published Papers.
Type of publication:	Book / Working Paper
Notes:	45 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011249402