Understanding models' forecasting performance

DOI10.1016/j.jeconom.2011.02.020zbMath1441.62857OpenAlexW3121873230MaRDI QIDQ738003

Tatevik Sekhposyan, Barbara Rossi

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.020

zbMATH Keywords

forecastingexchange ratesinstabilitiesforecast evaluationover-fitting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The power of tests of predictive ability in the presence of structural breaks
• Approximately normal tests for equal predictive accuracy in nested models
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
• Robust out-of-sample inference
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Detecting and Predicting Forecast Breakdowns
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Inference about Predictive Ability
• Tests of Conditional Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models