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- W3124134448 abstract "We propose new methods for comparing the relative out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea is to develop a measure of the relative ilocal forecasting performancei for the two models, and to investigate its stability over time by means of statistical tests. We propose two tests (the iFluctuation testi and the test against a iOne-time Reversali) that analyze the evolution of the modelsi relative performance over historical samples. In contrast to previous approaches to forecast comparison, which are based on measures of iglobal performancei, we focus on the entire time path of the modelsi relative performance, which may contain useful information that is lost when looking for the model that forecasts best on average. We apply our tests to the analysis of the time variation in the out-of-sample forecasting performance of monetary models of exchange rate determination relative to the random walk." @default.
- W3124134448 created "2021-02-01" @default.
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- W3124134448 date "2008-01-01" @default.
- W3124134448 modified "2023-09-27" @default.
- W3124134448 title "Forecast Comparisons in Unstable Environments" @default.
- W3124134448 hasPublicationYear "2008" @default.
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