Multi-Horizon Forecast Comparison
Multi-Horizon Forecast Comparison
About this item
Full title
Author / Creator
Publisher
Alexandria: Taylor & Francis
Journal title
Language
English
Formats
Publication information
Publisher
Alexandria: Taylor & Francis
Subjects
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Scope and Contents
Contents
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 th...
Alternative Titles
Full title
Multi-Horizon Forecast Comparison
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_crossref_primary_10_1080_07350015_2019_1620074
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_07350015_2019_1620074
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2019.1620074
