Asymptotic inference about predictive ability

被引:675
作者
West, KD
机构
[1] Dept. of Economics, University of Wisconsin, 1180 Observatory Dr., Madison, WI 53706-1393
关键词
forecasting; forecast evaluation; testing; hypothesis test; model comparison;
D O I
10.2307/2171956
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors, when there is a long time series of predictions and realizations. The aim is to provide tools for analysis of predictive accuracy and efficiency, and, more generally, of predictive ability. The paper allows for nonnested and nonlinear models, as well as for possible dependence of predictions and prediction errors on estimated regression parameters. Simulations indicate that the procedures can work well in samples of size typically available.
引用
收藏
页码:1067 / 1084
页数:18
相关论文
共 29 条
[1]   CONSISTENCY IN NONLINEAR ECONOMETRIC-MODELS - A GENERIC UNIFORM LAW OF LARGE NUMBERS [J].
ANDREWS, DWK .
ECONOMETRICA, 1987, 55 (06) :1465-1471
[2]   HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].
ANDREWS, DWK .
ECONOMETRICA, 1991, 59 (03) :817-858
[3]   ECONOMETRIC EVALUATION OF LINEAR MACROECONOMIC MODELS [J].
CHONG, YY ;
HENDRY, DF .
REVIEW OF ECONOMIC STUDIES, 1986, 53 (04) :671-690
[4]  
CHRISTIANO LJ, 1989, Q REV, V13, P3
[5]   FORECASTING OUTPUT WITH THE COMPOSITE LEADING INDEX - A REAL-TIME ANALYSIS [J].
DIEBOLD, FX ;
RUDEBUSCH, GD .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1991, 86 (415) :603-610
[6]  
DIEBOLD FX, 1994, 169 NBER
[8]  
FAIR RC, 1990, AM ECON REV, V80, P375
[9]   ESTIMATING THE EXPECTED PREDICTIVE ACCURACY OF ECONOMETRIC-MODELS [J].
FAIR, RC .
INTERNATIONAL ECONOMIC REVIEW, 1980, 21 (02) :355-378
[10]  
HALL P, 1980, MARTINGALE LIMIT THE