Understanding models' forecasting performance
We propose a new methodology to identify the sources of models' forecasting performance. The methodology decomposes the models' forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting. The empirical application shows the usefulness of the new methodology for understanding the causes of the poor forecasting ability of economic models for exchange rate determination.
Year of publication: |
2011
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Authors: | Rossi, Barbara ; Sekhposyan, Tatevik |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 164.2011, 1, p. 158-172
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Publisher: |
Elsevier |
Keywords: | Forecasting Forecast evaluation Instabilities Over-fitting Exchange rates |
Saved in:
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