I assisted Barbara Rossi in developing F.I.T. (Forecast Instability Tests), an app which allows users to perform forecast evaluation tests in the presence of instabilities by point and click.
The toolbox is available as a MATLAB app. It has also been integrated in the Bayesian Estimation, Analysis and Regression (BEAR) toolbox developed by Alistair Dieppe, Romain Legrand and Björn van Roye of the ECB's External Developments Division.
The forecasts can be either point forecasts or forecast densities. As to the first, it is possible to perform a test of relative forecasting performance by Giacomini and Rossi (JAE, 2010) and a test of absolute forecasting performance by Rossi Sekhposyan (JAE, 2016). As to the second, one can apply the test for correct calibration of forecast densities by Rossi and Sekhposyan (2017).
Please contact Barbara Rossi to request the toolbox. Feel free to contact me if you need assistance on installing or deploying the app.
In the meantime, you can take a look at the User Guide to get an idea of how the toolbox works and at the Technical Guide to familiarize yourself with the theoretical background.
This project has received funding from the MINECO grant ECO2012-33247 "The Evolving Transmission of Cyclical Shocks: Methods and Empirical Analyses" and from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant agreement No 615608).