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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 1995-24
- Classification
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Subject
-
Mean squared prediction error
robust forecast comparison
- Event
-
Geistige Schöpfung
- (who)
-
Mizrach, Bruce
- Event
-
Veröffentlichung
- (who)
-
Rutgers University, Department of Economics
- (where)
-
New Brunswick, NJ
- (when)
-
1996
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mizrach, Bruce
- Rutgers University, Department of Economics
Time of origin
- 1996
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