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Adjusting for information content when comparing forecast performance
Finansinspektionen, Stockholm, Sweden..
Finansinspektionen, Stockholm, Sweden..
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics. Sveriges Riksbank, Monetary Policy Dept, SE-10337 Stockholm, Sweden..
2017 (English)In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 36, no 7, p. 784-794Article in journal (Refereed) Published
Abstract [en]

Cross-institutional forecast evaluations may be severely distorted by the fact that forecasts are made at different points in time and therefore with different amounts of information. This paper proposes a method to account for these differences when analyzing an unbalanced panel of forecasts. The method computes the timing effect and the forecaster's ability simultaneously. Monte Carlo simulation demonstrates that evaluations that do not adjust for the differences in information content may be misleading. In addition, the method is applied to a real-world dataset of 10 Swedish forecasters for the period 1999-2015. The results show that the ranking of the forecasters is affected by the proposed adjustment.

Place, publisher, year, edition, pages
WILEY , 2017. Vol. 36, no 7, p. 784-794
Keywords [en]
forecast error, forecast comparison, publication time, evaluation, error component model, panel data
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-337312DOI: 10.1002/for.2470ISI: 000412917400004OAI: oai:DiVA.org:uu-337312DiVA, id: diva2:1169998
Available from: 2018-01-02 Created: 2018-01-02 Last updated: 2018-01-02Bibliographically approved

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Reslow, André

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