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Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations

David Hendry () and Andrew Martinez ()

No 784, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Abstract: This paper develops a new approach for evaluating multi-step system forecasts with relatively few forecast-error observations. It extends Clements and Hendry (1993a) using Abadir et al.(2014) to generate "design-free" estimates of the general matrix of the forecast-error second-moment when there are relatively few forecast-error observations. Simulations show that the usefulness of alternative methods deteriorates when their assumptions are violated. The new approach compares well against these methods and provides correct forecast rankings.

Keywords: Invariance; Forecast Evaluation; Forecast Error; Moment Matrices; MSFE; GFESM (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 (search for similar items in EconPapers)
Date: 2016-03-08
New Economics Papers: this item is included in nep-ecm, nep-for and nep-ore
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Citations: View citations in EconPapers (5) Track citations by RSS feed

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Journal Article: Evaluating multi-step system forecasts with relatively few forecast-error observations (2017) Downloads
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