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Finite-sample properties of tests for equal forecast accuracy

✍ Scribed by Todd E. Clark

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 165 KB
Volume: 18
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199912)18:7<489::aid-for727>3.0.co;2-g

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✦ Synopsis

This study examines the small-sample properties of some commonly used tests of equal forecast accuracy. The paper considers the size and power of dierent tests and the performance of dierent heteroscedasticity and autocorrelation-consistent (HAC) variance estimators. Monte Carlo experiments show that the tests all suer some size distortions in small samples, with the distortions varying across tests. The experiments also show that, adjusted for size distortions, the tests have broadly similar power, although some small dierences exist. Finally, the experiments indicate that the size and power performances of HAC estimators vary with the features of the data.

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