In this paper we present and describe a large quarterly frequency, macroeconomic database. The data provided are closely modeled to that used in Stock and Watson (2012a). As in our previous work on FRED-MD, our goal is simply to provide a publicly available source of macroeconomic "big data"...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy and encompassing applied to direct, multistep predictions from nested regression models. We first derive asymptotic distributions; these nonstandard distributions depend on the parameters of the...

This chapter surveys recent developments in the evaluation of point forecasts. Taking West’s (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West’s writing. We then focus on recent developments, including advancements in the evaluation of...

Two asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted...

Ashley, Granger, and Schmalensee (1980) and Diebold and Mariano (1995) suggest that forecast comparisons may be used to examine Granger causality. According to Ashley et al., if forecasts of y based on a VAR model in x and y are superior to those based on an AR model for y , then x carries...