| Abstract: | We are grateful to the twelve discussants for their many insightful and constructive comments on our paper, although we are surprised by both the number of discussants and their near unanimity that the paper was ‘provocative’. We have organized our reply under seven headings, concerned, respectively, with method comparison versus model comparison; the role of the forecast horizon; the choice of loss function; the GFESM measure; the choice of information set; truth versus congruence; and the issue of testing versus comparisons. |
