Understanding models' forecasting performance


Journal Article

We propose a new methodology to identify the sources of models' forecasting performance. The methodology decomposes the models' forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting. The empirical application shows the usefulness of the new methodology for understanding the causes of the poor forecasting ability of economic models for exchange rate determination. © 2011 Elsevier B.V. All rights reserved.

Full Text

Cited Authors

  • Rossi, B; Sekhposyan, T

Published Date

  • September 1, 2011

Published In

Volume / Issue

  • 164 / 1

Start / End Page

  • 158 - 172

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2011.02.020

Citation Source

  • Scopus