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Autor:innen: 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Discussion Papers No. 931
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
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.
Schlagwörter: 
Macroeconomic forecasts
Econometric models
Forecast performance
Forecastevaluation
Forecast comparison
JEL: 
C32
C53
Dokumentart: 
Working Paper

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