Evaluating Direct Multistep Forecasts

DOI10.1080/07474930500405683MaRDI QIDQ5719300zbMATH OpenOpenAlexFDO

Authors Todd E. Clark, Michael W. McCracken

Publication date 18 January 2006

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930500405683

zbMATH Keywords

tablespredictioncausalitylong horizoninflation forecasting

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Tests of equal forecast accuracy and encompassing for nested models
• A predictability test for a small number of nested models
• Statistical tests for multiple forecast comparison
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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• A consistent test for nonlinear out of sample predictive accuracy.
• Asymptotic Inference about Predictive Ability
• Asymptotics for out of sample tests of Granger causality
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Forecasting Performance of Information Criteria with Many Macro Series
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Predictive ability with cointegrated variables
• Recent developments in bootstrapping time series
• Stochastic Limit Theory
• Tests of equal forecast accuracy and encompassing for nested models
• The power of tests of predictive ability in the presence of structural breaks
• VAR forecasting under misspecification

Cited in

(18)

• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
• Multi-step estimation and forecasting in dynamic models
• Recurrent double-conditional factor model
• Asymptotic inference about predictive accuracy using high frequency data
• Tests of equal accuracy for nested models with estimated factors
• scientific article; zbMATH DE number 5035829 (Why is no real title available?)
• Maximum-Subsampling Test of Equal Predictive Ability
• Short-horizon return predictability and oil prices
• Multi-Horizon Forecast Comparison
• Inflation as a global phenomenon -- some implications for inflation modeling and forecasting
• Selection between models through multi-step-ahead forecasting
• On the use of the concentration function to compare predictive distributions in ARMA models.
• Nested forecast model comparisons: a new approach to testing equal accuracy
• A novel approach to predictive accuracy testing in nested environments
• A predictability test for a small number of nested models
• Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
• Approximately normal tests for equal predictive accuracy in nested models
• Asymptotics for out of sample tests of Granger causality

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