Testing forecasting model versatility

Nick Taylor

Economics Letters, 2012, vol. 117, issue 3, 803-806

Abstract: A new method of assessing the comparative quality of forecasting models is introduced. This method focuses on the quality of forecasting models over a set of series (cf. the traditionally adopted series-by-series approach)–with a forecasting model that produces good forecasts over a series set described as versatile.

Keywords: Economic forecasting; Versatility; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 C53 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:803-806

DOI: 10.1016/j.econlet.2012.08.044

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