Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations

Håvard Hungnes

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.

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Year of publication:	May 2020
Authors:	Hungnes, Håvard
Publisher:	Oslo : Statistics Norway, Research Department
Subject:	Macroeconomic forecasts \| Econometric models \| Forecast performance \| Forecastevaluation \| Forecast comparison \| Wirtschaftsprognose \| Economic forecast \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (circa 21 Seiten)
Series:	Discussion papers / Statistics Norway, Research Department. - Oslo : [Verlag nicht ermittelbar], ISSN 0809-733X, ZDB-ID 2364250-6. - Vol. no. 931
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/249121 [Handle]
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012225087