Cover Image

Testing directional forecast value in the presence of serial correlation

Oliver Blaskowitz; Helmut Herwartz
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By means of a Monte Carlo study we illustrate the relative merits of the latter. Two empirical applications demonstrate the relevance to account for serial correlation in economic time series when testing for the value of directional forecasts. -- Directional forecasts ; directional accuracy ; forecast evaluation ; testing independence ; contingency tables ; bootstrap
Year of publication:
2008
Authors: Blaskowitz, Oliver ; Herwartz, Helmut
Publisher: Berlin : SFB 649, Economic Risk
Subject: Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Statistischer Test | Statistical test | Qualitative Methode | Qualitative method | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory
Extent:
Online-Ressource (PDF-Datei: 32 S.)
graph. Darst.
Series:
SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2008,073
Type of publication: Book / Working Paper
Type of publication (narrower categories): Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language: English
Notes:
Systemvoraussetzungen: Acrobat Reader
Other identifiers:
hdl:10419/25316 [Handle]
Classification: C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; E17 - Forecasting and Simulation ; E27 - Forecasting and Simulation ; E47 - Forecasting and Simulation ; F17 - Trade Forecasting and Simulation ; F37 - International Finance Forecasting and Simulation ; F47 - Forecasting and Simulation ; G11 - Portfolio Choice ; G17 - Financial Forecasting
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003796145
Similar items by subject
Similar items by person