Forecast encompassing tests and probability forecasts
نویسندگان
چکیده
منابع مشابه
Forecast Encompassing Tests and Probability Forecasts
We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the forecasting models parameters on these distributions. The small-sample performance is investigated, in ter...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2009
ISSN: 0883-7252
DOI: 10.1002/jae.1097