SUMMARY This paper examines the asymptotic and finite‐sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (Econometrica 1989; <b>57</b>: 307–333). Two models are overlapping when the true model contains just a subset of variables...

This article develops a simple bootstrap method for simulating asymptotic critical values for tests of equal forecast accuracy and encompassing among many nested models. Our method combines elements of fixed regressor and wild bootstraps. We first derive the asymptotic distributions of tests of...

This paper presents evidence linking in-sample tests of predictive content and out-of-sample forecast accuracy. Our approach focuses on the negative effect that finite-sample estimation error has on forecast accuracy despite the presence of significant population-level predictive content. We...

This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...

This article develops a simple bootstrap method for simulating asymptotic critical values for tests of equal forecast accuracy and encompassing among many nested models. Our method combines elements of fixed regressor and wild bootstraps. We first derive the asymptotic distributions of tests of...

Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper...

This paper evaluates potential explanations for the sometimes poor forecasting performance of the Phillips curve. One explanation is that out-of-sample metrics are noisy or, equivalently, have relatively low power. Another potential explanation is instability in the coefficients of the model. To...

This article presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance trade-off faced when choosing between either the recursive and rolling...