Tests for multiple forecast encompassing

David Harvey and Paul Newbold
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Paul Newbold: School of Economics, University of Nottingham, University Park, Nottingham, NG7 2RD, UK, Postal: School of Economics, University of Nottingham, University Park, Nottingham, NG7 2RD, UK

Journal of Applied Econometrics, 2000, vol. 15, issue 5, 471-482

Abstract: In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts is whether one forecast encompasses its competitors, in the sense that they contain no useful information not present in the superior forecast. We develop tests for this notion of multiple forecast encompassing which are robust to properties expected in the forecast errors, and apply the tests to forecasts of UK growth and inflation. Copyright © 2000 John Wiley & Sons, Ltd.

Date: 2000
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