Implementing tests for forecast evaluation in the presence of instabilities

Barbara Rossi and Matthieu Soupre ()
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Matthieu Soupre: University of Pompeu Fabra

Stata Journal, 2017, vol. 17, issue 4, 850-865

Abstract: In this article, we review methodologies to fix the size distortions of tests for forecast evaluation in the presence of instabilities. The methodologies implement tests for relative and absolute forecast evaluation that are robust to instabilities. We also introduce the giacross and rosssekh commands, which implement these procedures in Stata. Copyright 2017 by StataCorp LP.

Keywords: giacross; rosssekh; forecasting; instabilities; structural change (search for similar items in EconPapers)
Date: 2017
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