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Evaluating Forecasts of a Vector of Variables
Hans Christian Mueller
Hans Christian Müller-Dröge
Tara M. Sinclair
Herman O. Stekler
其他書名
A German Forecasting Competition
出版
Centre for Applied Macroeconomic Analysis, The Australian National Univ.
, 2014
URL
http://books.google.com.hk/books?id=XrvxvQEACAAJ&hl=&source=gbs_api
註釋
In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years. We use our method to determine an overall winner for a forecasting competition across twenty-five different institutions for a single time period using a vector of eight key economic variables. Typically forecasting competitions are judged on a variable-by-variable basis, but our methodology allows us to determine how each competitor performed overall. We find that the Bundesbank was the overall winner for 2013.