Arbeitspapier
Testing for relative predictive accuracy: A critical viewpoint
Tests for relative predictive accuracy have become a widespread addendum to forecast comparisons. Many empirical research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper collects arguments that cast doubt on the usefulness of relative predictive accuracy tests. The main point is not that test power is too low but that their application is conceptually mistaken. The features are highlighted by means of some Monte Carlo experiments for simple time-series decision problems.
- Language
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Englisch
- Bibliographic citation
-
Series: Reihe Ökonomie / Economics Series ; No. 130
- Classification
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Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Subject
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information criteria
forecasting
hypothesis testing
Prognoseverfahren
Monte-Carlo-Methode
- Event
-
Geistige Schöpfung
- (who)
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Kunst, Robert M.
- Event
-
Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
-
Vienna
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:42 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
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Time of origin
- 2003
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