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New Methods For Forecast Evaluation

Objective

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.

Call for proposal

FP7-PEOPLE-2011-CIG
See other projects for this call

Funding Scheme

MC-CIG - Support for training and career development of researcher (CIG)

Coordinator

UNIVERSIDAD POMPEU FABRA
Address
Placa De La Merce, 10-12
08002 Barcelona
Spain
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 100 000
Administrative Contact
Eva Martín (Ms.)