Tests of conditional predictive ability : a comment

Michael W. McCracken

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example is provided in which, instead, the test statistic diverges with probability one under the null. Simulations reinforce our analytical results

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Year of publication:	July 2019
Authors:	McCracken, Michael W.
Publisher:	St. Louis, MO : Federal Reserve Bank of St. Louis, Research Division
Subject:	prediction \| out-of-sample \| inference \| Prognoseverfahren \| Forecasting model \| Statistischer Test \| Statistical test \| Theorie \| Theory

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Extent:	1 Online-Ressource (circa 7 Seiten)
Series:	Working paper. - Saint Louis, Mo., ZDB-ID 2135914-3. - Vol. 2019, 018A (July 2019) FRB St. Louis Working Paper ; No. 2019-18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012064875