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Evaluation of the Forecasting Quality
[Оценка Качества Прогнозирования]

Author

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  • Kurennoy, Alexey (Куренной, Алексей)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

This preprint describes a number of statistical tests for (unselective) assess the quality of forecasting. For each of these assumptions are presented and discussed to be executed for the corresponding test can be used. In addition, preprint extends the scope of applicability of the Giacomini and White tests, spreading them in the event of forecasts prepared according to the recursive scheme, but almost entirely dependent on the short-term observations.

Suggested Citation

  • Kurennoy, Alexey (Куренной, Алексей), 2015. "Evaluation of the Forecasting Quality [Оценка Качества Прогнозирования]," Published Papers mak7, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:ppaper:mak7
    as

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    File URL: https://repec.ranepa.ru/rnp/ppaper/mak7.pdf
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    References listed on IDEAS

    as
    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    2. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
    3. Todd Clark & Michael McCracken, 2005. "Evaluating Direct Multistep Forecasts," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 369-404.
    4. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
    5. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
    6. repec:bla:jfinan:v:43:y:1988:i:4:p:933-48 is not listed on IDEAS
    7. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    8. Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
    9. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
    10. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
    11. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    12. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    forecasting; forecasting quality; Giacomini test; White test;
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