Testing Predictive Ability and Power Robustification
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1487598