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David I. Harvey
;
Paul Newbold

tests for multiple forecast encompassing (replication data)

In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts is whether one forecast encompasses its competitors, in the sense that they contain no useful information not present in the superior forecast. We develop tests for this notion of multiple forecast encompassing which are robust to properties expected in the forecast errors, and apply the tests to forecasts of UK growth and inflation.

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Suggested Citation

Harvey, David I.; Newbold, Paul (2000): Tests for multiple forecast encompassing (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022314.0707766371