Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations

dc.contributor.author	Hungnes, Håvard
dc.date.accessioned	2020-06-04T08:33:42Z
dc.date.available	2020-06-04T08:33:42Z
dc.date.issued	2020-05
dc.identifier.issn	1892-753X
dc.identifier.uri	https://hdl.handle.net/11250/2656482
dc.description.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.	en_US
dc.language.iso	eng	en_US
dc.publisher	Statistisk sentralbyrå	en_US
dc.relation.ispartofseries	Discussion Paper;No. 931
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no	*
dc.subject	Macroeconomic forecasts	en_US
dc.subject	Econometric models	en_US
dc.subject	Forecast performance	en_US
dc.subject	Forecast evaluation	en_US
dc.subject	Forecast comparison	en_US
dc.title	Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations	en_US
dc.type	Working paper	en_US
dc.subject.nsi	VDP::Samfunnsvitenskap: 200::Økonomi: 210::Økonometri: 214	en_US
dc.source.pagenumber	20	en_US

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