Tests for multiple forecast encompassing

被引：0
|
作者：
Harvey, D
Newbold, P
机构：
[1] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England
[2] Loughborough Univ Technol, Dept Econ, Loughborough LE11 3TU, Leics, England
来源：
JOURNAL OF APPLIED ECONOMETRICS | 2000年 / 15卷 / 05期
关键词：
D O I：
10.1002/1099-1255(200009/10)15:5<471::AID-JAE567>3.0.CO;2-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts is whether one forecast encompasses its competitors, in the sense that they contain no useful information not present in the superior forecast. We develop tests for this notion of multiple forecast encompassing which are robust to properties expected in the forecast errors, and apply the tests to forecasts of UK growth and inflation. Copyright (C) 2000 John Wiley & Sons, Ltd.
引用
收藏
页码：471 / 482
页数：12
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