This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to a benchmark are also briefly discussed.
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ReDIF This chapter was published in: G. Elliott & C. Granger & A. Timmermann (ed.) , Elsevier, chapter 03, pages 99-134, 2006.
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This chapter was published in the following book, which is listed on IDEAS: G. Elliott & C. Granger & A. Timmermann (ed.), 2006.
"Handbook of Economic Forecasting,"
Handbook of Economic Forecasting,
Elsevier,
edition 1, volume 1, number 1, September.
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