Evaluating forecast performance with state dependence

DOI10.1016/J.JECONOM.2021.07.015MaRDI QIDQ6090570zbMATH OpenOpenAlexFDO

Authors Florens Odendahl, Barbara Rossi, Tatevik Sekhposyan

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.2021.07.015

zbMATH Keywords

forecast evaluationmoment-based testspockets of predictabilitypredictive ability testingstate dependence

Mathematics Subject Classification ID

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

Cites work

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• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

Cited in

(4)

• Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
• Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
• Bootstrapping out-of-sample predictability tests with real-time data
• Forecasting Inflation Using Economic Narratives

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