Summary statistics and forecasting performance
1983
Larson, D.
Extract: The simultaneous equation econometric model has recently come under increasing attack as a policy analysis and forecasting tool. However, traditional methods of choosing among competing models rely heavily on the use of summary statistics. It is shown, by example, that choosing a model with relatively better summary statistics does not guarantee getting the best unconditional out-of-sample forecasts. Other methods of forecasting time series that allow relative evaluation of the out-of-sample forecasting ability of econometric simultaneous equation models are also examined.
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