This paper analyzes the properties of mutual encompassing and its relationship to the KLIC equivalence between statistical models. It is shown that models are KLIC equivalent if and only if they are mutually encompassing and mutually Cox-encompassing. Further, within the exponentional familly...

The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept...