Giacomini, Raffaella; Rossi, Barbara - In: Journal of Applied Econometrics 25 (2010) 4, pp. 595-620
We propose new methods for comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea is to develop a measure of the relative local forecasting performance for the two models, and to investigate its stability over time by...
