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Advances In Forecast Evaluation

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Executive Summary

This paper surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting point, the authors briefly cover the state of the literature as of the time of West's writing. They then focus on recent developments, including advancements in the evaluation of forecasts at the population level (based on true, unknown model coefficients), the evaluation of forecasts in the finite sample (based on estimated model coefficients), and the evaluation of conditional versus unconditional forecasts.

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