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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...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.ijforecast.2016.08.007

Authors


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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Sub department:
EMOD
Role:
Author
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Sub department:
EMOD
Role:
Author
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
Source identifiers:
640447
Keywords:
Pubs id:
pubs:640447
UUID:
uuid:6b000c18-bb7d-41c0-80e4-494733e2a967
Local pid:
pubs:640447
Deposit date:
2016-08-24

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