Testing forecasting model versatility

A new method of assessing the comparative quality of forecasting models is introduced. This method focuses on the quality of forecasting models over a set of series (cf. the traditionally adopted series-by-series approach)–with a forecasting model that produces good forecasts over a series set described as versatile.

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Year of publication:	2012
Authors:	Taylor, Nicholas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 803-806
Publisher:	Elsevier
Subject:	Economic forecasting \| Versatility \| Stochastic dominance

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594211