Time scale evaluation of economic forecasts

Antonis Michis

Economics Letters, 2014, vol. 123, issue 3, 279-281

Abstract: A maximal overlap discrete wavelet transform is used to obtain time scale decompositions of economic forecasts and their errors. The generated time scale components can be used in loss measures and tests for comparing forecast accuracy to evaluate whether the forecasts accurately capture the cyclical features of the data.

Keywords: Forecast accuracy; Loss measures; Time scales; Wavelets (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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Working Paper: Time Scale Evaluation of Economic Forecasts (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:279-281

DOI: 10.1016/j.econlet.2014.03.002

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