کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097499 | 1376592 | 2007 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Approximately normal tests for equal predictive accuracy in nested models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that the mean squared prediction error (MSPE) from the parsimonious model is therefore expected to be smaller than that of the larger model. We describe how to adjust MSPEs to account for this noise. We propose applying standard methods [West, K.D., 1996. Asymptotic inference about predictive ability. Econometrica 64, 1067-1084] to test whether the adjusted mean squared error difference is zero. We refer to nonstandard limiting distributions derived in Clark and McCracken [2001. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105, 85-110; 2005a. Evaluating direct multistep forecasts. Econometric Reviews 24, 369-404] to argue that use of standard normal critical values will yield actual sizes close to, but a little less than, nominal size. Simulation evidence supports our recommended procedure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 138, Issue 1, May 2007, Pages 291-311
Journal: Journal of Econometrics - Volume 138, Issue 1, May 2007, Pages 291-311
نویسندگان
Todd E. Clark, Kenneth D. West,