Discussion Papers no. 931
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
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.
About the publication
- Title
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Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
- Author
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Håvard Hungnes
- Series and number
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Discussion Papers no. 931
- Publisher
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Statistisk sentralbyrå
- Topic
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Discussion Papers
- ISSN
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1892-753X
- About Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Contact
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Statistics Norway's Information Centre