Comparing forecasting performance in cross-sections

DOI10.1016/j.jeconom.2021.02.011OpenAlexW3209861041MaRDI QIDQ6090568

Yinchu Zhu, Allan G. Timmermann, Ritong Qu

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.02.011

zbMATH Keywords

cross-sectional datapredictive accuracyeconomic forecastingcompeting modelsanalysts' earnings forecasts

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective ⋮ Combining p-values for Multivariate Predictive Ability Testing

Cites Work

• Asymptotics for out of sample tests of Granger causality
• A new framework for analyzing survey forecasts using three-dimensional panel data
• Eigenvalue Ratio Test for the Number of Factors
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Econometric Evaluation of Linear Macro-Economic Models
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
• Asymptotic Inference about Predictive Ability
• Tests of Conditional Predictive Ability
• Inferential Theory for Factor Models of Large Dimensions
• Tests of equal forecast accuracy and encompassing for nested models

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