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Tests for multiple forecast encompassing
Author(s) -
Harvey David,
Newbold Paul
Publication year - 2000
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/1099-1255(200009/10)15:5<471::aid-jae567>3.0.co;2-x
Subject(s) - competitor analysis , inflation (cosmology) , econometrics , consensus forecast , ask price , forecast error , economics , computer science , economy , management , physics , theoretical physics
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 © 2000 John Wiley & Sons, Ltd.