Multi-Horizon Forecast Comparison
By R. Quaedvlieg. Journal of business & economic statistics, 2019
66 citations recorded by the source corpus.
Abstract We introduce tests for multi-horizon superior predictive ability (SPA). Rather than comparing forecasts of different models at multiple horizons individually, we propose to jointly consider all horizons of a forecast path. We define the concepts of uniform and average SPA. The former entails superior performance at each individual horizon, while the latter allows inferior performance at some horizons to be compensated by others. The article illustrates how the tests lead to more coherent conclusions, and how they are better able to differentiate between models than the single-horizon tests. We provide an extension of the previously introduced model confidence set to allow for multi-horizon comparison of more than two models. Simulations demonstrate appropriate size and high power. An illustration of the tests on a large set of macroeconomic variables demonstrates the empirical benefits of multi-horizon comparison.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/c40896cbb710c482295671fd641ff695a86cba1f
How researchers see this paper
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In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Christoph Bergmeir
In Management Science and Operations Research
- Fotios Petropoulos
- Rob J Hyndman
- Konstantinos Nikolopoulos
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Spyros Makridakis
- Evangelos Spiliotis
- Christoph Bergmeir
Citations in the corpus
- Forecasting: theory and practice (2020, background): “These have also been generalised to deal with issues such as cointegrated variables (Corradi et al., 2001) and multi-horizon forecasts (Quaedvlieg, 2019).”
- Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods (2019, unknown): “Table 4 reports the p -values of the unconditional Giacomini and White (2006) test for superior predictive ability for squared and absolute errors and the multi-horizon superior predictive ability test of Quaedvlieg (2017).”