Evaluating forecast performance with state dependence
具有状态依赖性的预测表现评估
We propose a novel forecast evaluation methodology to assess models’ absolute and relative forecasting performance when it is a state-dependent function of economic variables. In our framework, the forecasting performance, measured by a forecast error loss function, is modeled via a hard or smooth threshold model with unknown threshold values. Existing tests either assume a constant out-of-sample forecast performance or use non-parametric techniques robust to time-variation;…