- 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.
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- Peer review status:
- Peer reviewed
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- Copyright holder:
- Blackwell Publishing
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- 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].
Evaluating a model by forecast performance
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