On comparing multi-horizon forecasts

DOI10.1016/J.ECONLET.2006.04.010MaRDI QIDQ1929459zbMATH OpenOpenAlexFDO

Authors Carlos Capistrán

Publication date 8 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.04.010

zbMATH Keywords

evaluating forecastsforecasting practice

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and prediction (62M20)

Recommendations

• Statistical tests for multiple forecast comparison
• Robust forecast comparison
• Testing forecast accuracy
• Tests of Conditional Predictive Ability
• Measuring the Advantages of Multivariate vs. Univariate Forecasts

Cites work

• Asymptotic Inference about Predictive Ability
• scientific article; zbMATH DE number 1211744 (Why is no real title available?)

Cited in

(5)

• Joint forecasts of Dow Jones stocks under general multivariate loss function
• scientific article; zbMATH DE number 3885170 (Why is no real title available?)
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Comparing forecasting performance in cross-sections
• Multi-Horizon Forecast Comparison

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