2019/05/28 by Rogier Quaedvlieg · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Forecasting Techniques and Applications #Market Dynamics and Volatility #Monetary Policy and Economic Impact
paper · doi:10.1080/07350015.2019.1620074
openalex publication_date 2019/05/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
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.