Understanding models' forecasting performance

Barbara Rossi and Tatevik Sekhposyan

Journal of Econometrics, 2011, vol. 164, issue 1, 158-172

Abstract: 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.

Keywords: Forecasting; Forecast; evaluation; Instabilities; Over-fitting; Exchange; rates (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (31)

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Working Paper: Understanding Models' Forecasting Performance (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:164:y:2011:i:1:p:158-172

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