Robust forecast comparison

• Main Authors: JIN, Sainan, Corradi, Valentina, Swanson, Norman R.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Convex loss function; Empirical processes; Forecast superiority; General loss function; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1951; https://ink.library.smu.edu.sg/context/soe_research/article/2950/viewcontent/RobustForecastComparison_2016.pdf
• Institution: Singapore Management University

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. In order to address this issue, a novel criterion for forecast evaluation that...