کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149514 1489778 2010 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Selection between models through multi-step-ahead forecasting
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Selection between models through multi-step-ahead forecasting
چکیده انگلیسی

We develop and show applications of two new test statistics for deciding if one ARIMA model provides significantly better h-step-ahead forecasts than another, as measured by the difference of approximations to their asymptotic mean square forecast errors. The two statistics differ in the variance estimates used for normalization. Both variance estimates are consistent even when the models considered are incorrect. Our main variance estimate is further distinguished by accounting for parameter estimation, while the simpler variance estimate treats parameters as fixed. Their broad consistency properties offer improvements to what are known as tests of Diebold and Mariano (1995) type, which are tests that treat parameters as fixed and use variance estimates that are generally not consistent in our context. We show how these statistics can be calculated for any pair of ARIMA models with the same differencing operator.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 12, December 2010, Pages 3655–3675
نویسندگان
, ,