Evaluating multi-step system forecasts with relatively few forecast-error observations
This paper develops a new approach for evaluating multi-step system forecasts with relatively few forecast-error observations. It extends Clements and Hendry (1993a) using Abadir et al.(2014) to generate "design-free" estimates of the general matrix of the forecast-error second-moment when...
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| Format: | Working paper |
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University of Oxford
2016
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