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Forecast Evaluation

In: Handbook of Economic Forecasting

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  • West, Kenneth D.

Abstract

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.

Suggested Citation

  • West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
    • Handle: RePEc:eee:ecofch:1-03
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