Arbeitspapier
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
The paper derives a test for equal predictability of multi-step-ahead system forecasts that is invariant to linear transformations. The test is a multivariate version of the Diebold-Mariano test. An invariant metric for multi-step-ahead system forecasts is necessary as the conclusions otherwise can depend on how the forecasts are reported (e.g., as in levels or differences; or log-levels or growth rates). The test is used in comparing quarterly multi-step-ahead system forecasts made by Statistics Norway with similar forecasts made by Norges Bank.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 931
- Klassifikation
-
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
- Thema
-
Macroeconomic forecasts
Econometric models
Forecast performance
Forecastevaluation
Forecast comparison
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hungnes, Håvard
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hungnes, Håvard
- Statistics Norway, Research Department
Entstanden
- 2020
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