Arbeitspapier
Forecast Comparison in L2
This paper provides a comprehensive framework for comparing predictors of univariate time series in the mean square norm. Initially, the forecast errors are assumed to be unbiased, independent, and normally distributed. Each of these is progressively relaxed. A new heteroscedasticity and autocorrelation consistent statistic for forecast comparison is derived. Finite sample distributions are tabulated in a sequence of Monte Carlo exercises. Power is examined by comparing forecast errors from a moving average model with misspecified autoregressive alternatives.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1995-24
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
-
Mean squared prediction error
robust forecast comparison
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mizrach, Bruce
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mizrach, Bruce
- Rutgers University, Department of Economics
Entstanden
- 1996
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