期刊
JOURNAL OF ECONOMETRICS
卷 186, 期 1, 页码 160-177出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2014.06.016
关键词
Mean square error; Prediction
We develop methods for testing whether, in a finite sample, forecasts from nested models are equally accurate. Most prior work has focused on a null of equal accuracy in population basically, whether the additional coefficients of the larger model are zero. Our asymptotic approximation instead treats the coefficients as non-zero but small, such that, in a finite sample, forecasts from the small and large models are expected to be equally accurate. We derive the limiting distributions of tests of equal mean square error, and develop a bootstrap for inference. Simulations show that our procedures have good size and power properties. (C) 2014 Elsevier B.V. All rights reserved.
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