Evaluating a model by forecast performance
- Although out-of-sample forecast performance is often deemed to be the ‘gold standard’ of evaluation, it is not in fact a good yardstick for evaluating models in general. The arguments are illustrated with reference to a recent paper by Carruth, Hooker and Oswald [Review of Economics and Statistics (1998), Vol. 80, pp. 621��628], who suggest that the good dynamic forecasts of their model support the efficiency-wage theory on which it is based.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- Blackwell Publishing
- Copyright date:
- The full-text of this article is not available in ORA at this time. Citation: Clements, M. P. & Hendry, D. F. (2005). 'Evaluating a model by forecast performance', Oxford Bulletin of Economics and Statistics, 67(s1), 931-956. [The definitive version is available at www.blackwell-synergy.com].
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record