A Test for Superior Predictive Ability
نویسندگان
چکیده
We propose a new test for superior predictive ability. The new test compares favorable to the reality check for data snooping (RC), because the former is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We employ a studentized test statistic that reduces the influence of erratic forecasts and we invoke a sample dependent null distribution. The advantages of the new test are confirmed by Monte Carlo experiments and in an empirical exercise, where we compare a large number of regression-based forecasts of annual US inflation to a simple random walk forecast. The random walk forecast is found to be inferior to regression-based forecasts and, interestingly, the best sample performance is achieved by models that have a Phillips curve structure. JEL Classification: C12, C32, C52, C53.
منابع مشابه
Design and Implementation of the Predictive Current Control Strategy in the Single Phase Photovoltaic Grid-Connected Inverter Based on Microcontroller
In this paper, photovoltaic (PV) grid-connected inverter which is the core device in PV grid-connected system has been in depth research.An improved predictive current controller has been developed by the Authors for single-phase grid-connected voltage source inverters (VSI).Based on DSP TMS320LF2407A, a 10 kW single-phase grid-connected inverter has been built in this paper.Thus is aimed at us...
متن کاملA Predictability Test for a Small Number of Nested Models
In this paper we introduce Quasi Likelihood Ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. We show that the limiting distributions of the test statistics are non standard. For critical values we consider two approaches: (i) boostrapping and (ii) simulations assuming norm...
متن کاملTesting the predictive ability of technical analysis using a new stepwise test without data snooping bias
Article history: Received 25 October 2008 Received in revised form 19 July 2009 Accepted 5 January 2010 Available online 18 January 2010 In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the “superior predictive ability” (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify pred...
متن کاملThe Effects of the Predictive Ability of Accruals and Cash Flows on Earnings Quality: Evidences from TSE
This paper examines the effects of the predictive ability of accruals and cash flows on earnings quality in Tehran Stock Exchange (TSE). In this study we have used two methods: cross-section and pooled for testing hypothesis. The results show that Sloan model has the strongest ability to predict future earnings, and cash component earnings have more ability than accruals component earnings for ...
متن کاملStock Investment with Stochastic Programming∗
In this paper, we propose the stochastic programming (SP) model with risk measure conditional value at risk (CVaR) for investing stocks in Taiwan stock market. In each period of investment, 200 scenarios are generated for solving SP, and the CVaR is utilized to manage the risk. The experiment interval starts from 2005/1/1 and ends on 2013/12/31, which has totally 2235 trading periods. The exper...
متن کامل