期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 27, 期 4, 页码 441-454出版社
AMER STATISTICAL ASSOC
DOI: 10.1198/jbes.2009.07204
关键词
Causality; Forecasting; Mean square error; Prediction
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multistep predictions from both nonnested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time, revised nature of the data. Monte Carlo simulations indicate that our asymptotic approximations yield reasonable size and power properties in most circumstances. The paper Concludes with an examination of the real-time predictive content of various measures of economic activity for inflation. This article has supplementary material online.
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