This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the forecasts was then evaluated under a rolling forecast...

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...