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Evaluating a Model by Forecast Performance*

Michael Clements and David Hendry ()

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, 931-956

Abstract: 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.

Date: 2005
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Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

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Handle: RePEc:bla:obuest:v:67:y:2005:i:s1:p:931-956