Robust Forecast Comparison

Research, Article, Preprint OPEN
Jin, Sainan; Corradi, Valentina; Swanson, Norman;
  • Publisher: Cambridge University Press
  • Related identifiers: doi: 10.1017/S0266466616000426
  • Subject: convex loss function, empirical processes, forecast superiority, general loss function | C22 | C12 | forecast superiority | convex loss function | general loss function | empirical processes
    • jel: jel:C12 | jel:C22
      ddc: ddc:330

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. This paper addresses this issue by using a novel... View more
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