Implementing tests for forecast evaluation in the presence of instabilities
Barbara Rossi
ICREA Professor at University of Pompeu Fabra
Barcelona Graduate School of Economics, and
CREI
Barcelona, Spain
[email protected]
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Matthieu Soupre
University of Pompeu Fabra
Barcelona, Spain
[email protected]
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Abstract. In this article, we review methodologies to fix the size distortions of tests
for forecast evaluation in the presence of instabilities. The methodologies
implement tests for relative and absolute forecast evaluation that are robust
to instabilities. We also introduce the giacross and rosssekh
commands, which implement these procedures in Stata.
View all articles by these authors:
Barbara Rossi, Matthieu Soupre
View all articles with these keywords:
giacross, rosssekh, forecasting, instabilities, structural change
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