Breitung, Jörg; Knüppel, Malte - In: Journal of Applied Econometrics 36 (2021) 4, pp. 369-392
We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h∗. The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the mean-squared prediction error of the forecast...