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NEW FORECAST METHODS

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New Methods For Forecast Evaluation

Forecasting is a fundamental tool in Economics, Statistics, Business and other sciences. Judging whether forecasts are good and robust is of great importance since forecasts are used everyday to guide policymakers' and practitione... ver más

31/03/2016

UPF

100K€

Presupuesto del proyecto: 100K€

Líder del proyecto

UNIVERSITAT POMPEU FABRA No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 322

Fecha límite participación Sin fecha límite de participación.

Financiación concedida El organismo FP7 notifico la concesión del proyecto el día 2016-03-31 No tenemos la información de la convocatoria

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Información adicional privada

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1 Participantes

UPF

0.00€ | Lider

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Líder del proyecto

UNIVERSITAT POMPEU FABRA No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 322

Presupuesto del proyecto 100K€

Fecha límite de participación Sin fecha límite de participación.

Descripción del proyecto Forecasting is a fundamental tool in Economics, Statistics, Business and other sciences. Judging whether forecasts are good and robust is of great importance since forecasts are used everyday to guide policymakers' and practitioners' decisions. The proposal aims at developing three tools for improving the way forecasts are evaluated as well as establishing a research network on time series econometrics and forecasting, essential for my permanent integration at the host institution and the successful continuation of my research career in Europe. The three tools that the proposal plans to develop are aimed at resolving three important practical issues that researchers face in practice. The first project, titled Out-of-Sample Forecast Tests Robust to the Choice of Window Size, aims at developing methods to evaluate forecasts that are robust to the choice of the estimation window size. The choice of the window size has always been a concern for practitioners, since the use of different window sizes may lead to different empirical results in practice. The second project, titled Forecast Optimality Tests in the Presence of Instabilities, aims at developing tests for forecast efficiency that are robust to the presence of instabilities. Existing techniques are invalid in the presence of instabilities. The third and most ambitious project, titled Why Do We Do Forecast Tests?, aims at understanding the relationship between traditional in-sample tests and forecast evaluation tests. In order to successfully complete these projects in Europe, where I have been offered a job starting in January 2012, funding to visit co-authors in the US, present my research projects to conferences, hire research assistants and organize conferences and host co-authors will be essential. These activities will contribute to the creation of a research network benefiting the host institution, policy institutions in Europe (e.g. the ECB) as well as students, practitioners and researchers.

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