Journal article icon

Journal article

Evaluating multi-step system forecasts with relatively few forecast-error observations

Abstract:

This paper develops a new approach for evaluating multi-step system forecasts with relatively few forecast-error observations. It extends the work of Clements and Hendry (1993) by using that of Abadir et al. (2014) to generate “design-free” estimates of the general matrix of the forecast-error second-moment when there are relatively few forecast-error observations. Simulations show that the usefulness of alternative methods deteriorates when their assumptions are violated. The new approach co...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

Actions


Access Document


Files:
Publisher copy:
10.1016/j.ijforecast.2016.08.007

Authors


More by this author
Department:
Oxford, SSD, Economics, EMOD
More by this author
Department:
Oxford, SSD, Economics, EMOD
Robertson Foundation More from this funder
Institute for New Economic Thinking More from this funder
Publisher:
Elsevier Publisher's website
Journal:
International Journal of Forecasting Journal website
Volume:
33
Issue:
2
Pages:
359-372
Publication date:
2017-01-12
Acceptance date:
2016-08-23
DOI:
ISSN:
0169-2070
Pubs id:
pubs:640447
URN:
uri:6b000c18-bb7d-41c0-80e4-494733e2a967
UUID:
6b000c18-bb7d-41c0-80e4-494733e2a967
Local pid:
pubs:640447

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP