Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249121 
Year of Publication: 
2020
Series/Report no.: 
Discussion Papers No. 931
Publisher: 
Statistics Norway, Research Department, Oslo
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.
Subjects: 
Macroeconomic forecasts
Econometric models
Forecast performance
Forecastevaluation
Forecast comparison
JEL: 
C32
C53
Document Type: 
Working Paper

Files in This Item:
File
Size
172.78 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.