Adjusting for information content when comparing forecast performance

DOI10.1002/FOR.2470MaRDI QIDQ4687637zbMATH OpenOpenAlexFDO

Authors Ted Aranki, André Reslow, Michael K. Andersson

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://www.riksbank.se/Documents/Rapporter/Working_papers/2016/rap_wp328_160915.pdf

zbMATH Keywords

error component modelforecast comparisonpanel dataunbalanced panel

Mathematics Subject Classification ID

Statistical aspects of fuzziness, sufficiency, and information (62B86) Inference from stochastic processes and prediction (62M20) Numerical methods (including Monte Carlo methods) (91G60)

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• Information content of forecast errors
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