Standard statistical methods in the empirical economics and finance literature are mostly applicable to data that is aggregated on equally spaced time points. However, a key characteristic of many economic and financial variables is that they occur randomly and are observed irregularly in time....

This paper focuses on the predictive validity of the upper secondary grade point average (GPA), when used as selection instrument to higher education. The purpose of the paper is to find out if the predictive strength of the GPA is affected by time, here measured as the time that has passed...

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

This chapter surveys recent developments in the evaluation of point forecasts. Taking West’s (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West’s writing. We then focus on recent developments, including advancements in the evaluation of...