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On the limitations of comparing mean square forecast errors: A reply

โœ Scribed by Michael P. Clements; David F. Hendry

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
547 KB
Volume
12
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

We are grateful to the twelve discussants for their many insightful and constructive comments on our paper, although we are surprised by both the number of discussants and their near unanimity that the paper was 'provocative'. We have organized our reply under seven headings, concerned, respectively, with method comparison versus model comparison; the role of the forecast horizon; the choice of loss function; the GFESM measure; the choice of information set; truth versus congruence; and the issue of testing versus comparisons.

๐Ÿ“œ SIMILAR VOLUMES

On the limitations of comparing mean squ
On the limitations of comparing mean square forecast errors: Comment
โœ Richard A. Meese ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 189 KB

See Chinn and Meese (1992) for evidence and justification of constrained parameter values. They use x(r) = [ s ( t )log(rn(r)/rn\*(r)) + 0.75 log(y(f)/y\*(t)) -4.5(i(f) -i\*(r))l, where rn, y , and i are domestic money supply, real income, and interest rate proxies, respectively. Foreign values of t

On the limitations of comparing mean squ
On the limitations of comparing mean square forecast errors: Comment
โœ Clive W. J. Granger ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 149 KB

Meese, R. A. and Rogoff, K., 'Empirical exchange rate models of the seventies: do they fit out of sample?' Journal of International Economics, 14 (1983a). 1, 3-24. Meese, R. A. and Rogoff, K. 'The out-of-sample failure of empirical exchange rate models: sampling error or misspecification?', Chapter

On the limitations of comparing mean squ
On the limitations of comparing mean square forecast errors: Comment
โœ Stephen K. McNees ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 205 KB

An algebraic relationship between mean square error comparisons and encompassing tests is provided by a contrast of two of the earliest regression equations for comparing forecasting formulas. Hoel (1947) proposed a regression equation of precisely the form given by CH (equation (44)), namely, wher