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Tests for multiple forecast encompassing

  • David Harvey

    (Department of Economics, Loughborough University, Loughborough, Leicestershire, LE11 3TU, UK)

  • Paul Newbold

    (School of Economics, University of Nottingham, University Park, Nottingham, NG7 2RD, UK)

Registered author(s):

    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.

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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

    Volume (Year): 15 (2000)
    Issue (Month): 5 ()
    Pages: 471-482

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    Handle: RePEc:jae:japmet:v:15:y:2000:i:5:p:471-482
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    1. Pesaran, M. Hashem & Timmermann, Allan G., 1994. "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2), pages 1-7.
    2. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
    4. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
    5. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    6. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    7. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
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