This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

This paper proposes a new estimator for least squares model averaging. A model average estimator is a weighted average of common estimates obtained from a set of models. We propose computing weights by minimizing a model average prediction criterion (MAPC). We prove that the MAPC estimator is...

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...