Content horizons for univariate time-series forecasts

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Macroeconomic forecast accuracy in a data‐rich environment (2019, methodology): “The following metrics are used to compare the models: (i) mean squared predictive error (MSPE); (ii) mean absolute predictive error (MAPE); (iii) pseudo-R(2) from (Galbraith 2003); (iv) (Pesaran & Timmermann 1992) sign test.”
Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (2007, background): “Diebold and Kilian ( 2001 ) and Galbraith ( 2003 ) consider inference about measures of predictability based on autoregressive sieves.”
Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination (2021, background): “In passing, we hint at relations to the null hypothesis of Mincer-Zarnowitz regression (Krüger and Ziegel, 2021) and tests of predictive content (Galbraith, 2003; Breitung and Knüppel, 2021).”