Understanding models forecasting performance Academic Article uri icon


  • We propose a new methodology to identify the sources of models' forecasting performance. The methodology decomposes the models' forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting. The empirical application shows the usefulness of the new methodology for understanding the causes of the poor forecasting ability of economic models for exchange rate determination. 2011 Elsevier B.V. All rights reserved.

published proceedings

  • Journal of Econometrics

author list (cited authors)

  • Rossi, B., & Sekhposyan, T.

citation count

  • 39

complete list of authors

  • Rossi, Barbara||Sekhposyan, Tatevik

publication date

  • September 2011