کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097471 1478583 2006 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
چکیده انگلیسی
We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null “no change” model equals that of the linear alternative. We show analytically and via simulations that despite this equality, the alternative model's sample MSPE is expected to be greater than the null's. For rolling regression estimators of the alternative model's parameters, we propose and evaluate an asymptotically normal test that properly accounts for the upward shift of the sample MSPE of the alternative model. Our simulations indicate that our proposed procedure works well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 135, Issues 1–2, November–December 2006, Pages 155-186
نویسندگان
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