NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP

Two asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted to reflect small sample size effect on tests.

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Year of publication:	2001
Authors:	Robledo, Carlos W. ; Zapata, Hector O. ; McCracken, Michael
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Demand and Price Analysis

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Extent:	application/pdf
Series:	2001 Annual meeting, August 5-8, Chicago, IL.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2001 Annual meeting, August 5-8, Chicago, IL Number 20686
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005503604