Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations

Arbeitspapier

The paper suggests two encompassing tests for evaluating multi-step system forecasts invariant to linear transformations. An invariant measure for forecast accuracy is necessary as the conclusions otherwise can depend on how the forecasts are reported (e.g., as in level or growth rates). Therefore, a measure based on the prediction likelihood of the forecast for all variables at all horizons is used. Both tests are based on a generalization of the encompassing test for univariate forecasts where potential heteroscedasticity and autocorrelation in the forecasts are considered. The tests are used in evaluating quarterly multi-step system forecasts made by Statistics Norway.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 871

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods
• Subject: Macroeconomic forecasts ; Econometric models ; Forecast performance ; Forecast evaluation ; Forecast comparison

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hungnes, Håvard
• Event: Veröffentlichung
• (who): Statistics Norway, Research Department
• (where): Oslo
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/192853
• Last update: 10.03.2025, 11:42 AM CET