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Comments on testing for forecast and specification optimality using linear composites

โœ Scribed by Robert F. Phillips


Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
450 KB
Volume
7
Category
Article
ISSN
0277-6693

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โœฆ Synopsis


This paper extends the method of using linear composites of forecasts for testing the efficiency of one forecast compared to a finite collection of other forecasts. It also gives necessary and sufficient conditions for forecast optimality in the mean square error sense. Information sets are found to be unnecessary for forecast optimality. Finally, the paper shows that a consistent test of forecast optirnality cannot in general be obtained using linear composites. A similar conclusion applies to tests of specification optimality based on linear composites.


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