A Bunch Of Models, A Bunch Of Nulls And Inference About Predictive Ability
Inference about predictive ability is usually carried out in the form of pairwise comparisons between two competing forecasting methods. Nevertheless, some interesting questions are concerned with families of models and not just with a couple of forecasting strategies. An example of this would be the question about the predictive accuracy of pure time-series models versus models based on economic fundamentals. It is clear that an appropriate answer to this question requires comparing families of models, which may include a number of different forecasting strategies.