ROBUST FORECAST COMPARISON

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. In order to address this issue, a novel criterion for forecast evaluation that...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Econometric theory 2017-12, Vol.33 (6), p.1306-1351
Hauptverfasser:	Jin, Sainan, Corradi, Valentina, Swanson, Norman R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Dominance Econometrics Economic forecasting Economic models Economic theory Forecasting Forecasting techniques Foreign exchange rates Power
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!