Testing for Unconditional Predictive Ability

Testing for Unconditional Predictive Ability

This chapter provides an overview of pseudo-out-of-sample tests of unconditional predictive ability. We begin by providing an overview of the literature, including both empirical applications and theoretical contributions. We then delineate two distinct methodologies for conducting inference: one based on the analytics in West (1996) and the other based on those in Giacomini and White (2006). T...

Testing Predictive Ability and Power Robustication

One of the approaches to compare forecasting methods is to test whether the risk from a benchmark prediction is smaller than the others. The test can be embedded into a general problem of testing inequality constraints using a one-sided sup functional. Hansen (2005) showed that such tests su¤er from asymptotic bias. This paper generalizes this observation, and proposes a hybrid method to robust...

Efficient Dominance Testing for Unconditional Preferences

We study a dominance relation for comparing outcomes based on unconditional qualitative preferences and compare it with its unconditional counterparts for TCP-nets and their variants. Dominance testing based on this relation can be carried out in polynomial time by evaluating the satisfiability of a logic formula.

Predictive ability of C-reactive protein for stroke

Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability