This paper 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 tradeoff faced when choosing between either the recursive and rolling...

The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...

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 (1989). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of...

Nowcasting methods have become a crucial tool for central banks and investors due to their timeliness and ability to make 'on the spot' predictions. However, despite their popularity, there has been little research into statistical methods for the comparison of different nowcasts across multiple...

Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class of loss functions. Distinction is drawn...

The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...

In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...

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 (1989). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of...