Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
Working paper
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Date
2020-05Metadata
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- Discussion Papers [1002]
Abstract
The paper derives a test for equal predictability of multi-step-ahead system forecasts that is invariant to linear transformations. The test is a multivariate version of the Diebold-Mariano test. An invariant metric for multi-step-ahead system forecasts is necessary as the conclusions otherwise can depend on how the forecasts are reported (e.g., as in levels or differences; or log-levels or growth rates). The test is used in comparing quarterly multi-step-ahead system forecasts made by Statistics Norway with similar forecasts made by Norges Bank.
Publisher
Statistisk sentralbyråSeries
Discussion Paper;No. 931
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
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