Implementing tests for forecast evaluation in the presence of instabilities

Authors: Barbara Rossi and Matthieu Soupre

Stata Journal, Vol. 17, No 4, 850-865, February, 2018

In this article, we review methodologies to fix the size distortions of tests for forecast evaluation in the presence of instabilities. The methodologies implement tests for relative and absolute forecast evaluation that are robust to instabilities. We also introduce the giacross and rosssekh commands, which implement these procedures in Stata.