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Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10010263216

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …

Persistent link: https://www.econbiz.de/10010271838

Forecast evaluation of small nested model sets

Hubrich, Kirstin; West, Kenneth D. - 2009

alternative models simultaneously rather than sequentially, and do not require re-estimation of models as part of a bootstrap …

Persistent link: https://www.econbiz.de/10011605076

A Forty Year Assessment of Forecasting the Boat Race

Mesters, Geert; Koopman, Siem Jan - 2012

We study the forecasting of the yearly outcome of the Boat Race between Cambridge and Oxford. We compare the relative performance of different dynamic models for forty years of forecasting. Each model is defined by a binary density conditional on a latent signal that is specified as a dynamic...

Persistent link: https://www.econbiz.de/10010326259

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - 2008

We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...

Persistent link: https://www.econbiz.de/10011604996

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10010316931

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut; Xu, Fang - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in … functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic …, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features …

Persistent link: https://www.econbiz.de/10010296279

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10010324912

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

de Gooijer, Jan G.; Yuan, Ao - 2011

Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...

Persistent link: https://www.econbiz.de/10010325868

Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference

Meenagh, David; Meenagh, David; Minford, Patrick; … - 2009

We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...

Persistent link: https://www.econbiz.de/10010288793