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Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do not require re\u2010estimation of models as part of a bootstrap procedure. Both procedures adjust MSPE differences in accordance with Clark and West (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib9\">2007<\/jats:ext-link>); one procedure then examines the maximum <jats:italic>t<\/jats:italic>\u2010statistic, while the other computes a chi\u2010squared statistic. Our simulations examine the proposed procedures and two existing procedures that do not adjust the MSPE differences: a chi\u2010squared statistic and White's (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib34\">2000<\/jats:ext-link>) reality check. In these simulations, the two statistics that adjust MSPE differences have the most accurate size, and the procedure that looks at the maximum <jats:italic>t<\/jats:italic>\u2010statistic has the best power. We illustrate our procedures by comparing forecasts of different models for US inflation. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1176","type":"journal-article","created":{"date-parts":[[2010,4,13]],"date-time":"2010-04-13T18:09:47Z","timestamp":1271182187000},"page":"574-594","source":"Crossref","is-referenced-by-count":44,"title":["Forecast evaluation of small nested model sets"],"prefix":"10.1002","volume":"25","author":[{"given":"Kirstin","family":"Hubrich","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kenneth D.","family":"West","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,5,4]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912176"},{"issue":"1","key":"e_1_2_9_3_1","first-page":"2","article-title":"Are Phillips curves useful for forecasting inflation?","volume":"25","author":"Atkeson A","year":"2001","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"key":"e_1_2_9_4_1","doi-asserted-by":"crossref","unstructured":"BillmeierA.2004.Ghostbusting: which output gap measure really works?. 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