Tests for multiple forecast encompassing

In the evaluation of economic forecasts, it is frequently the case that com parisons are made between a number of competing predictors. A natural quest ion to ask in such contexts is whether one forecast encompasses its competi tors, in the sense that they contain no useful information not present in t he superior forecast. We develop tests for this notion of multiple forecast encompassing which are robust to properties expected in the forecast error s, and apply the tests to forecasts of UK growth and inflation. Copyright ( C) 2000 John Wiley & Sons, Ltd.