We develop a forecast superiority testing methodology which is robust to the choice of loss function. Following Jin …, Corradi and Swanson (JCS: 2017), we rely on a mapping between generic loss forecast evaluation and stochastic dominance … suggests that prior forecast accuracy matters in the Survey of Professional Forecasters. Namely, for our longest forecast …

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of … misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses … this issue by using a novel criterion for forecast evaluation which is based on the entire distribution of forecast errors …