Understanding Models Forecasting Performance

The following Matlab code and examples are based on Understanding Models Forecasting Performance in Journal of Econometrics.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSizeDate
abc.m 1328 December 18 2013 14:15:24
calendar.m 769 December 18 2013 14:15:24
calendar_plot.m 766 December 18 2013 14:15:24
CVabsolute.m 724 December 18 2013 14:15:24
cvcalc.m 1029 December 18 2013 14:15:24
cvcalcABS.m 964 December 18 2013 14:15:24
Data.xls 3333120 December 18 2013 14:15:24
decomp_gr.m 3164 December 18 2013 14:15:24
decomp_gr_mstep.m 3359 December 18 2013 14:15:24
figure1and2.m 1826 December 18 2013 14:15:24
LossDiff_gr.m 829 December 18 2013 14:15:24
mbic.m 601 December 18 2013 14:15:24
nw.m 359 December 18 2013 14:15:24
olsbeta.m 210 December 18 2013 14:15:24
olsres.m 215 December 18 2013 14:15:24
recserar.m 362 December 18 2013 14:15:24
abc.m 2653 December 18 2013 14:15:24
ABDcalcNEW.m 4776 December 18 2013 14:15:24
CVabsolute.m 724 December 18 2013 14:15:24
cvcalcABS.m 963 December 18 2013 14:15:24
main_size_roll.m 6714 December 18 2013 14:15:24
nw.m 359 December 18 2013 14:15:24
olsbeta.m 208 December 18 2013 14:15:24
olsres.m 213 December 18 2013 14:15:24
recserar.m 360 December 18 2013 14:15:24
main_size_rollDGP1alternative1.out 78735 December 18 2013 14:15:24
main_size_rollDGP1alternative2.out 67141 December 18 2013 14:15:24
main_size_rollDGP1alternative3.out 67141 December 18 2013 14:15:24
main_size_rollDGP1alternative4.out 67141 December 18 2013 14:15:24
main_size_rollDGP2alternative1.out 78735 December 18 2013 14:15:24
main_size_rollDGP2alternative2.out 67141 December 18 2013 14:15:24
main_size_rollDGP2alternative3.out 67141 December 18 2013 14:15:24
main_size_rollDGP2alternative4.out 67141 December 18 2013 14:15:24