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Handbook of Economic Forecasting by Allan Timmermann, Graham Elliott

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Chapter 20

Advances in Forecast Evaluation

Todd Clark* and Michael McCracken,     *Economic Research Dept., Federal Reserve Bank of Cleveland, P.O. Box 6387, Cleveland, OH 44101, USA, Research Division, Federal Reserve Bank of St. Louis, P.O. Box 442, St. Louis, MO 63166, USA, *E-mail: todd.clark@clev.frb.org, E-mail: michael.w.mccracken@stls.frb.org

Abstract

This chapter surveys recent developments in the evaluation of point forecasts. Taking West’s (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West’s writing. We then focus on recent developments, including advancements in the evaluation of forecasts at the population level (based on true, unknown model coefficients), the evaluation of ...

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