| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062275 | Economics Letters | 2006 | 6 Pages |
Abstract
When comparing multi-horizon forecasts, the common method of taking the square of the forecast errors for each horizon and then averaging over the horizons performs worse, in terms of the user's expected loss, than applying a Diebold-Mariano test using a multivariate loss function.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Carlos Capistrán,